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

The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes

Chong, Terence Tai-leung; Wang, Xiaolei - In: Journal of Risk and Financial Management 2 (2009) 1, pp. 75-93

The performance of analysts' forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

Persistent link: https://www.econbiz.de/10011843218

The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes

Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of Risk and Financial Management 2 (2009) 1, pp. 75-93

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

Persistent link: https://www.econbiz.de/10010699156

The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes

Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 75-93

Persistent link: https://www.econbiz.de/10011556115

Investor sentiment, customer satisfaction and stock returns

Peng, Chi-Lu; Lai, Kuan-Ling; Chen, Maio-Ling; Wei, An-Pin - In: European Journal of Marketing 49 (2015) 5/6, pp. 827-850

Purpose – This study aims to investigate whether and how different sentiments affect the stock market’s reaction to the American Customer Satisfaction Index (ACSI) information. Design/methodology/approach – The portfolio approach, with time-varying risk factor loadings and the...

Persistent link: https://www.econbiz.de/10014723482

A new method of measuring herding in stock market and its empirical results in Chinese A-share market

Xie, Tian; Xu, Yi; Zhang, Xinsheng - In: International review of economics & finance : IREF 37 (2015), pp. 324-339

Persistent link: https://www.econbiz.de/10011542135

Value premium and implied equity duration in the Japanese stock market

Fukuta, Yuichi; Yamane, Akiko - In: Journal of international financial markets, … 39 (2015), pp. 102-121

Persistent link: https://www.econbiz.de/10011475648

Liquidity and stock returns : evidence from international markets

Chiang, Thomas C.; Zheng, Dazhi - In: Global finance journal 27 (2015), pp. 73-97

Persistent link: https://www.econbiz.de/10011478050

Investor sentiment, customer satisfaction and stock returns

Peng, Chi-lu; Lai, Kuan-ling; Chen, Maio-ling; Wei, An-pin - In: European journal of marketing : EJM 49 (2015) 5/6, pp. 827-850

Persistent link: https://www.econbiz.de/10011298082

Nonparametric methods for estimating and testing for constant betas in asset pricing models

Esteban, María Victoria; Ferreira, Eva; … - In: Applied economics 47 (2015) 25/27, pp. 2577-2607

Persistent link: https://www.econbiz.de/10010519653

Three-factor asset pricing model and portfolio holdings of foreign investors : evidence from an emerging market - Borsa Istanbul

Ceylan, Nildağ Başak; Dogan, Burak; Berument, Hakan - In: Economic research 28 (2015) 1, pp. 467-486

Persistent link: https://www.econbiz.de/10012220751