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

Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms

Javid, Attiya Yasmin - Volkswirtschaftliche Fakultät, … - 2008

This study empirically investigates the Fama-French three-factor model and consumption CAPM model in unconditional and …

Persistent link: https://www.econbiz.de/10011108474

The Analysis of the Impact of Size and Book-To-Market Ratio on the Stock Returns of the ISE Companies

Canbas, Serpil; Kandir, Serkan Yilmaz; Erismis, Ahmet - In: Istanbul Stock Exchange Review 10 (2008) 39, pp. 1-16

power among the four models examined. achieve higher returns than low book-tomarket firms. Finally, Fama-French three-factor …-factor model including market factor and firm size, two-factor model including book-tomarket ratio besides market factor and Fama-French … three-factor model which includes all three-factors. Findings show that all of the factors affect stock returns. Moreover …

Persistent link: https://www.econbiz.de/10010764217

The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange

Javid, Attiya Y.; Ahmad, Eatzaz - Pakistan Institute of Development Economics - 2008

This is an attempt to empirically investigate the risk and return relationship of individual stocks traded at Karachi Stock Exchange (KSE), the main equity market in Pakistan. The analysis is based on daily as well as monthly data of 49 companies and KSE 100 index is used as market factor...

Persistent link: https://www.econbiz.de/10005626231

Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models

Jin, Sainan; Su, Liangjun; Zhang, Yonghui - School of Economics, Singapore Management University - 2014

In this paper we propose a class of nonparametric tests for anomaly effects in empirical asset pricing models in the framework of nonparametric panel data models with interactive fixed effects. Our approach has two prominent features: one is the adoption of nonparametric functional form to...

Persistent link: https://www.econbiz.de/10010887079

Can Naughty Be Nice for Investors: A Multifactor Examination of Vice Stocks

Richey, Greg M. - In: Journal of Applied Management and Investments 3 (2014) 3, pp. 162-169

find the Jensen’s alpha (CAPM), Fama-French three factor and Carhart four-factor results for the entire portfolio, the …

Persistent link: https://www.econbiz.de/10010990960

Multifactor explanation of security returns in South Africa

Chukwulobelu, Osita; Fosu, Samuel; Coffie, William - In: International journal of management practice : IJMP 7 (2014) 4, pp. 380-397

Persistent link: https://www.econbiz.de/10010480220

Performance models for initial public offerings

Vu, Nancy; Worthington, Andrew Charles; Laird, Phillip - In: Economic and financial modeling of markets, …, (pp. 197-215). 2014

Persistent link: https://www.econbiz.de/10010437665

Carbon emissions and stock returns : evidence from the Chinese pilot emissions trading scheme

Zhang, Miao; Gregory-Allen, Russell B. - In: Theoretical economics letters 8 (2018) 11, pp. 2082-2094

Persistent link: https://www.econbiz.de/10011911575

Size, value, and momentum in emerging market stock returns

Cakici, Nusret; Fabozzi, Frank J.; Tan, Sinan - In: Emerging Markets Review 16 (2013) C, pp. 46-65

In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in...

Persistent link: https://www.econbiz.de/10010682547

Size, value, and momentum in emerging market stock returns

Cakici, Nusret; Fabozzi, Frank J.; Tan, Sinan - In: Emerging markets review 16 (2013), pp. 46-65

Persistent link: https://www.econbiz.de/10010243168