Search Results - subject:"Fama–French Three Factor"

An application of the Fama-French three-factor model to lodging REITs : a 20-year analysis

Jackson, Leonard A. - In: Tourism and hospitality research : THR 20 (2020) 1, pp. 31-40

Persistent link: https://www.econbiz.de/10012165758

Testing factor models in Indonesia

Foye, James; Valentinčič, Aljoša - In: Emerging markets review 42 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012414373

Tests of the Fama and French three factor model with reference to industry cost of equity : evidence from India

Datta, Smita; Chakraborty, Anindita - In: Finance India : the quarterly journal of Indian … 34 (2020) 2, pp. 379-394

Persistent link: https://www.econbiz.de/10012669590

MODELING PORTFOLIO RETURNS ON BUCHAREST STOCK EXCHANGE USING THE FAMA-FRENCH MULTIFACTOR MODEL

ANGHEL, Andrei; DUMITRESCU, Dalina; TUDOR, Cristiana - In: Journal for Economic Forecasting (2015) 1, pp. 22-46

The Fama–French three-factor model is known to explain the cross-section of average returns better than the market beta …

Persistent link: https://www.econbiz.de/10011265553

The role of the volatility index in asset pricing : the case of the Indian stock market

Pati, Pratap Chandra; Rajib, Prabina; Barai, Parama - In: The quarterly review of economics and finance : journal … 74 (2019), pp. 336-346

Persistent link: https://www.econbiz.de/10012297322

Fama-French, CAPM, and implied cost of equity

Mishra, Dev R.; O'Brien, Thomas J. - In: Journal of economics & business 101 (2019), pp. 73-85

Persistent link: https://www.econbiz.de/10012595268

Size and value premiums in the Indian stock market

Aziz, Tariq; Ansari, Valeed Ahmad - Volkswirtschaftliche Fakultät, … - 2014

The poor empirical record of the CAPM paved the way towards the development of multi-factor asset pricing models. The three-factor model of Fama and French (1993) is regarded as a ground-breaking multi-factor asset pricing model. This paper examines the performance of the three-factor model of...

Persistent link: https://www.econbiz.de/10011113482

The Alternative Three-Factor Model: Evidence from the German Stock Market

Kiesel, Florian; Lübbering, Andreas; Schiereck, Dirk - In: Credit and Capital Markets – Kredit und Kapital 51 (2018) 3, pp. 389-420

This article applies the alternative three-factor model introduced by Chen / Novy-Marx / Zhang (2010) to the German stock market for the sample period of 2004 through 2015. We construct two new factors INV ("investment") and ROA ("return on assets") for companies listed on the highest segment of...

Persistent link: https://www.econbiz.de/10014523268

Testing alternative versions of the Fama-French five-factor model in the UK

Foye, James - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 2, pp. 167-183

Persistent link: https://www.econbiz.de/10011885895

The alternative three-factor model : evidence from the German stock market

Kiesel, Florian; Lübbering, Andreas; Schiereck, Dirk - In: Credit and capital markets : Kredit und Kapital 51 (2018) 3, pp. 389-420

Persistent link: https://www.econbiz.de/10011948469