Search Results - subject:"Cross-sectional variation"

A Comparative analysis of the explanatory power of the CAPM and the Fama-French three-factor model on cross-sectional variation of returns on stocks trading on the Official market...

Besimi, Fatmir; Bisheva, Ana - In: Economy, Business and Development: An International … 2 (2021) 1, pp. 1-11

The amount of literature on factors that explain the cross-sectional variation in average returns is vast, however, the … time series regression we find that both models have limited explanatory power of the cross-sectional variation in expected …

Persistent link: https://www.econbiz.de/10015337540

A comparative analysis of the explanatory power of the CAPM and the Fama-French three-factor model on cross-sectional variation of returns on stocks trading on the official market...

Besimi, Fatmir; Bisheva, Ana - In: Economy, business & development : an international journal 2 (2021) 1, pp. 1-11

Abstract: The amount of literature on factors that explain the cross-sectional variation in average returns is vast … included in this study. Using OLS time series regression we find that both models have limited explanatory power of the cross-sectional … variation in expected returns on the Macedonian Stock exchange. The study shows that only the size factor exhibits some limited …

Persistent link: https://www.econbiz.de/10015327272

Have risk premia vanished?

Smith, Simon C.; Timmermann, Allan - In: Journal of financial economics 145 (2022) 2,2, pp. 553-576

Persistent link: https://www.econbiz.de/10013474424

Have risk premia vanished?

Smith, Simon C.; Timmermann, Allan - 2021

Persistent link: https://www.econbiz.de/10012508216

Country and industry factors in tests of Capital Asset Pricing Models for partially integrated emerging markets

Bai, Ye; Green, Christopher J. - In: Economic modelling 92 (2020), pp. 180-194

Persistent link: https://www.econbiz.de/10012429640

The determinants of future bank stock returns in eight asian countries

An, Jiyoun; Na, Sung-o - In: Journal of East Asian economic integration 18 (2014) 3, pp. 253-276

We examine which traditional asset pricing variables together with bank-specific accounting variables explain the cross-sectional … variation of future bank stock returns, using a firm-level data of eight Asian countries. Our empirical evidence shows that …

Persistent link: https://www.econbiz.de/10011568360

Speculative Bubbles and the Cross-Sectional Variation in Stock Returns

Brooks, Chris; Anderson, Keith - Henley Business School, University of Reading - 2012

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative...

Persistent link: https://www.econbiz.de/10010800985

Time Varying Volatility and the Cross-Section of Equity Returns

Brooks, Chris; Li, Xiafei; Miffre, Joelle - Henley Business School, University of Reading - 2009

exist. This paper demonstrates that the cross-sectional variation in returns between portfolios sorted by size and book …

Persistent link: https://www.econbiz.de/10008542375

Are anomalies still anomalous? An examination of momentum strategies in four financial markets

Wang, Daxue - IESE Business School, Universidad de Navarra - 2008

literature. With the results of WRSS, we examine the relative importance of time-series predictability and cross-sectional … variation in accounting for the profits of momentum strategies. …

Persistent link: https://www.econbiz.de/10005021805

Speculative bubbles and the cross-sectional variation in stock returns

Anderson, Keith; Brooks, Chris - In: International Review of Financial Analysis 35 (2014) C, pp. 20-31

Persistent link: https://www.econbiz.de/10011077780