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

Multifactor models and their consistency with the APT

Cooper, Ilan; Ma, Liang; Maio, Paulo; Philip, Dennis - In: Review of asset pricing studies : RAPS 11 (2021) 2, pp. 402-444

Persistent link: https://www.econbiz.de/10012545909

Size, value, and momentum in Polish equity returns: Local or international factors?

Zaremba, Adam; Konieczka, Przemysław - In: International Journal of Management and Economics 53 (2017) 3, pp. 26-47

This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart four-factor models on the Polish market. We use stock level data from April 2001 to January 2014 and find strong evidence for value and momentum effects, but only weak evidence...

Persistent link: https://www.econbiz.de/10015192189

Size, value, and momentum in Polish equity returns : local or international factors?

Zaremba, Adam; Konieczka, Przemysław - In: International journal of management and economics 53 (2017) 3, pp. 26-47

Persistent link: https://www.econbiz.de/10012026674

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