Validity of Fama and French Three Factor Model with Capm in Kuala Lumpur Stock Exchange Market
Bibliographic record
Abstract
The debate on the stock return predictability of Capital Asset Pricing Model (CAPM) versus Fama French Three Factor Model (FF3FM) is still persistent in the academic literature. The scholarly attention on the FF3FM is seemingly inadequate relative to its return predictability evidenced in several studies. This study compares CAPM versus FF3FM using multiple regression analysis and Thiel’s U2 Test for stock returns in Kuala Lumpur Stock Exchange. Explanatory power of market, size, and growth factors for the time-series expected stock returns is also examined in this study. The results indicate significant improvement of market beta in explaining the stock returns. FF3FM is found to have stronger explanatory power than that of CAPM as the adjusted R2 value of the FF3FM is higher than that of CAPM. FF3FM is found better than CAPM also based on the Thiel’s U2 Test value.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.005 | 0.026 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.002 | 0.002 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.004 | 0.003 |
| Open science | 0.001 | 0.001 |
| Research integrity | 0.002 | 0.001 |
| Insufficient payload (model declined to judge) | 0.004 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".