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

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

A comprehensive test of the Fama-French five-factor model in emerging markets

Foye, James - In: Emerging markets review 37 (2018), pp. 199-222

Persistent link: https://www.econbiz.de/10012115006

Financial distress and equity returns : a leverage-augmented three-factor model

Boubaker, Sabri; Hamza, Taher; Vidal-García, Javier - In: Research in international business and finance 46 (2018), pp. 1-15

Persistent link: https://www.econbiz.de/10011983541

Firm characteristics and empirical factor models : a data-mining experiment

Kogan, Leonid; Tian, Mary - 2012

Persistent link: https://www.econbiz.de/10009698084

An alternative three-factor model for international markets : evidence from the European Monetary Union

Ammann, Manuel; Odoni, Sandro; Oesch, David - 2012 - This version: 1 February 2012

Persistent link: https://www.econbiz.de/10009564267

The effect of business cycle, market return and momentum on financial performance of socially responsible investing mutual funds

Paul, Karen - In: Social Responsibility Journal 13 (2017) 3, pp. 513-528

which SRI financial performance is affected by the macroeconomic climate. The Fama-French Three-Factor model and the Carhart … times of economic contraction. Originality/value Business cycle analysis, along with the Fama-French Three-Factor model and …

Persistent link: https://www.econbiz.de/10015022656

Riding the waves of technology through the decades : the relation between industry-level information technology intensity and the cost of equity capital

Dow, Kevin E.; Watson, Marcia Weidenmier; Shea, Vincent J. - In: International journal of accounting information systems 25 (2017), pp. 18-28

Persistent link: https://www.econbiz.de/10011730015

Constructing Fama-French factors from style indices : evidence from the Islamic equity market

Shaharuddin, Shahrin Saaid; Lau, Wee-Yeap; Rubi Ahmad - In: Emerging markets finance & trade : a journal of the … 53 (2017) 7/8/9, pp. 1563-1572

Persistent link: https://www.econbiz.de/10011823898