Search Results - subject:"Fama–French three factor model"

Financial risk and better returns through smart beta exchange-traded funds?

Bowes, Jordan; Ausloos, Marcel - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-30

, the Fama-French three-factor model, and the Carhart four-factor model, discussed in the literature review sections, in …

Persistent link: https://www.econbiz.de/10013200967

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

Financial risk and better returns through smart beta exchange-traded funds?

Bowes, Jordan; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-30

12 consecutive monthly returns data. We consider three models: the Sharpe-Lintner capital asset pricing model, the Fama-French … three-factor model, and the Carhart four-factor model, discussed in the literature review sections, in order to assess the …

Persistent link: https://www.econbiz.de/10012622400

The predictive power of multi-factor asset pricing models : evidence from Pakistani banks

Salim, Muhammad; Hashmi, Muhammad Arsalan; Abdullah, A. - In: Journal of Asian finance, economics and business : JAFEB 8 (2021) 11, pp. 1-10

Persistent link: https://www.econbiz.de/10012670978

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

and the Fama-French three factor model in explaining the cross-sectional variations of stock returns of securities trading … regarding stock returns. Based on the comparative analysis the Fama-French three-factor model describes the variation of returns …

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

Capital Asset Pricing model and the Fama-French three factor model in explaining the cross-sectional variations of stock … explanatory power regarding stock returns. Based on the comparative analysis the Fama-French three-factor model describes the …

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