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

Toxic chemical releases and idiosyncratic return volatility : a prospect theory perspective

Bahadar, Stephen; Nadeem, Muhammad; Zaman, Rashid - In: Accounting and finance 63 (2023) 2, pp. 2109-2143

Persistent link: https://www.econbiz.de/10014302072

Predictors of excess return in a green energy equity portfolio: Market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-31

The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global green energy producers, from 2010 to 2019....

Persistent link: https://www.econbiz.de/10013201383

Local, regional, or global asset pricing?

Hollstein, Fabian - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 1, pp. 291-320

Persistent link: https://www.econbiz.de/10012805786

A comparative study of the Fama-French Three Factor and the Carhart Four Factor Models : empirical evidence from Morocco

Tazi, Omar; Aguenaou, Samir; Abrache, Jawad - In: International journal of economics and financial issues … 12 (2022) 1, pp. 58-66

Persistent link: https://www.econbiz.de/10012802974

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10012872607

What drives the size and value factors?

Li, Jiacui - In: Review of asset pricing studies : RAPS 12 (2022) 4, pp. 845-885

Persistent link: https://www.econbiz.de/10013543032

Supply chain disruptions in COVID-19 and market performances of firms : a study in the Indian automobile sector

Aman, Mishra; Rajesh, R.; Vyas, Vishal - In: Measuring business excellence 28 (2024) 3/4, pp. 347-365

Persistent link: https://www.econbiz.de/10015324584

A novel integration of the Fama-French and Black-Litterman models to enhance portfolio management

Ko, Hyungjin; Son, Bumho; Lee, Jaewook - In: Journal of international financial markets, … 91 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10014494846

Taking over the size effect : asset pricing implications of merger activity

Easterwood, Sara; Netter, Jeffry M.; Paye, Bradley; … - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 2, pp. 690-726

Persistent link: https://www.econbiz.de/10014520121

Supply chain disruptions in COVID-19 and market performances of firms: a study in the Indian automobile sector

Aman, Mishra; Rajesh, R.; Vyas, Vishal - In: Measuring Business Excellence 28 (2024) 3/4, pp. 347-365

Purpose This study aims to examine empirically the nature of supply chain disruptions caused by the COVID-19 pandemic, particularly on the Indian automobile sector. Design/methodology/approach The authors evaluate the stock market performance of individual company and its quantitative...

Persistent link: https://www.econbiz.de/10015353487