Search Results - subject:"Asset Pricing Models"

Investor sentiment and equity mutual fund performance in Brazil

Silva, Sabrina Espinele da; Fonseca, Simone Evangelista; … - In: Journal of economics, finance & administrative science 30 (2025) 59, pp. 189-204

sentiment index in asset pricing models is important for explaining fund alpha. Design/methodology/approach The investor …

Persistent link: https://www.econbiz.de/10015410412

Green bonds as a bridge to the UN sustainable development goals on environment : a climate change empirical investigation

Ahmed, Rizwan; Yusuf, Fatima; Ishaque, Maria - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 2428-2451

Persistent link: https://www.econbiz.de/10014533428

Are minimum variance portfolios in multi-factor models long in low-beta assets?

Steland, Ansgar - In: Mathematics and Financial Economics 18 (2024) 1, pp. 151-170

beta. We study the structure of MVPs in more general multi-factor asset pricing models and clarify the low-beta puzzle for …

Persistent link: https://www.econbiz.de/10015373500

On the importance of asset pricing factors in the relative valuation

Skočir, Matevž; Lončarski, Igor - In: Research in international business and finance 70 (2024) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10015056366

Are minimum variance portfolios in multi-factor models long in low-beta assets?

Steland, Ansgar - In: Mathematics and financial economics 18 (2024) 1, pp. 151-170

Persistent link: https://www.econbiz.de/10015045588

Non-standard errors in asset pricing : mind your sorts

Soebhag, Amar; Vliet, Bart van; Verwijmeren, Patrick - In: Journal of empirical finance 78 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015101621

Enhancing stock market anomalies with machine learning

Gonçalves de Azevedo, Vitor; Hoegner, Christopher - In: Review of quantitative finance and accounting 60 (2023) 1, pp. 195-230

Persistent link: https://www.econbiz.de/10013548972

Tradable factor risk premia and oracle tests of asset pricing models

Quaini, Alberto; Trojani, Fabio; Yuan, Ming - 2023 - This version: September 16, 2023

Persistent link: https://www.econbiz.de/10014480342

Essays in empirical finance

Jankauskas, Tomas - 2023

Persistent link: https://www.econbiz.de/10014330066

The empirical explanatory power of CAPM and the fama and French three-five factor models in the Moroccan stock exchange

Taib, Asmâa Alaoui; Benfeddoul, Safae - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-19

This study empirically tests and compares the performances of three famous financial asset valuation models in the Moroccan stock exchange: CAPM, the Fama and French three-factor model, and the Fama and French five-factor model. Our sample considers monthly data covering the sample period of...

Persistent link: https://www.econbiz.de/10014284650

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