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

Seeking negative alphas through shorting

Mohamad, Azhar - In: Global business review 18 (2017) 6, pp. 1488-1506

Persistent link: https://www.econbiz.de/10011800037

Does corporate governance still affect firm performance after controlling the distress factor?

Lai, Syouching; Li, Hungchih; Li, Bin - In: Applied economics 48 (2016) 13/15, pp. 1197-1209

Persistent link: https://www.econbiz.de/10011433044

Performance of socially responsible stocks portfolios : the impact of global financial crisis

Tripathi, Vanita; Bhandari, Varun - In: Journal of economics and business research 22 (2016) 1, pp. 42-68

Persistent link: https://www.econbiz.de/10011572539

The cross-section of stock returns : an application of Fama-French approach to Nepal

Panta, Sabin Bikram; Phuyal, Niranjan; Sharma, Rajesh; … - In: Modern economy 7 (2016) 2, pp. 223-231

Persistent link: https://www.econbiz.de/10011548712

Conditional beta pricing models: A nonparametric approach

Orbe Mandaluniz, Susan; García, Ferreira; Eva, María; … - Departamento de Economía Aplicada III (Econometría y … - 2010

We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). First, conditional covariances are estimated nonparametrically for each asset and period using the...

Persistent link: https://www.econbiz.de/10008739745

The Analysis of an Investment Risk Within Emerging Capital Markets. The Case of the Warsaw Stock Exchange

Kowerski, Mieczyslaw - In: "e-Finanse" 6 (2010) 4, pp. 1-23

signs of coefficients which are consistent with those of the Fama-French three-factor model and there is no autocorrelation …

Persistent link: https://www.econbiz.de/10008764426

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 (2010) 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/10010756129

Drug development costs when financial risk is measured using the Fama–French three‐factor model

Vernon, John A.; Golec, Joseph H.; Dimasi, Joseph A. - In: Health Economics 19 (2010) 8, pp. 1002-1005

. Using the Fama–French three factor model we find that the cost of drug development to be higher than the earlier estimate …

Persistent link: https://www.econbiz.de/10008455474

Asset selection using factor model and data envelope analysis : a quantile regression approach

Singh, Abhay Kumar; Allen, David E. - 2010

Persistent link: https://www.econbiz.de/10008760318

The Predictive Ability of the Historic Beta of Hotel Stocks in the 2008 Market Downturn

Bloom, Barry - 2009

This study investigates the performance of hotel common stocks relative to specific market indices and assess whether or not historic Beta was an appropriate measurement of future risk for hotel stocks in the market downturn of 2008. Using three different measurements of Beta, the study finds...

Persistent link: https://www.econbiz.de/10009467957