Search Results - subject:"FACTOR MODEL"

Forward Selection Fama-MacBeth Regression with Higher Order Asset-Pricing Factors

Borri, Nicola; Četverikov, Denis N.; Liu, Yukun; … - National Bureau of Economic Research - 2025

discount factor model, isolating the most relevant higher-order factors. Applying this approach to terms derived from six … widely used factors (the Fama-French five-factor model and the momentum factor), we show that the resulting higher …

Persistent link: https://www.econbiz.de/10015398116

Local, regional, or global asset pricing?

Hollstein, Fabian - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 1, pp. 291-320

Persistent link: https://www.econbiz.de/10012805786

What drives the size and value factors?

Li, Jiacui - In: Review of asset pricing studies : RAPS 12 (2022) 4, pp. 845-885

Persistent link: https://www.econbiz.de/10013543032

Taking over the size effect : asset pricing implications of merger activity

Easterwood, Sara; Netter, Jeffry M.; Paye, Bradley; … - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 2, pp. 690-726

Persistent link: https://www.econbiz.de/10014520121

Economic policy uncertainty and stock return momentum

Goel, Garima; Dash, Saumya Ranjan; Mata, Mário Nuno; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-17

This paper investigates the relationship between economic policy uncertainty (EPU), an index capturing newspaper coverage of policy-related issues, and momentum profits. Momentum remains an unexplained anomaly. Our findings reveal a statistically negative association between EPU and hedge...

Persistent link: https://www.econbiz.de/10012520194

Credit portfolio modeling and pricing using the Poisson binomial distribution

Yilmaz, Bilgi; Hekimoglu, Alper - In: The journal of credit risk : published quarterly by … 20 (2024) 2, pp. 21-59

Persistent link: https://www.econbiz.de/10015464787

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

Moroccan stock exchange: CAPM, the Fama and French three-factor model, and the Fama and French five-factor model. Our sample …

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

How can hesitation in hotel live-streaming payment be overcome? : examine the role of entrepreneurial performance and viewers’ personality traits

Aungkana Jattamart; Nusawat, Paingruthai; Achaporn … - In: Journal of open innovation : technology, market, and … 9 (2023) 2, pp. 1-16

-organism-response (SOR) framework in conjunction with the Five-Factor Model (Big Five). Data were collected from 401 online questionnaires …

Persistent link: https://www.econbiz.de/10014364771

Beta-Schätzer in Deutschland : Vergleich und Prognosefähigkeit für zukünftige Aktienrenditen

Köstlmeier, Siegfried; Röder, Klaus - In: Corporate finance : Finanzierung, Kapitalmarkt, … 14 (2023) 1/2, pp. 7-15

Persistent link: https://www.econbiz.de/10013502571

A return based measure of firm quality

Jagannathan, Ravi; Zhang, Yang - 2020

Persistent link: https://www.econbiz.de/10012306214