Evaluate the Performance of Value Portfolios Under the Efficiency of Financial Markets - A Test Study in the Singapore Financial Marketduring For the Period (2003-2016) -

Abstract

This studyevaluate the performance of value and growth portfolios in the light of the efficiency of financialmarkets by testing the CAPM model and the FAMA and French three-factor model (factor market, size factor sml, value factor hml). The studyincluded the portfolios of value and growthbased on the book to market value for the period 2003-2016 on the Singapore Financial Market.

The Singapore'sfinancialmarketis inefficient at the weaklevel, the performance of the value portfolios has shownthatgrowth portfolios are performingwell and that the Fama and French three-factor model has a greaterexplanatory power than the financialassetpricing model in explaining the behavior of portfolio yields Of the market factor as a factor of size and value factor.