Search Results - subject:"Fama–MacBeth regression"

Momentum and disposition effect in the US stock market

Sadhwani, Ranjeeta; Bhayo, M. U. R. - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-18

This paper examines whether momentum drives the disposition effect and vice versa in the US stock market. The results from the analysis of the Fama-Macbethregressions show that the disposition effect drives momentum but not the other way around. Furthermore, we find that this relationship varies...

Persistent link: https://www.econbiz.de/10014001449

Dynamical internal cost of capital driven by cash flow growth

Solo, David; Sornette, Didier; Ulmann, Florian - 2021

expected return process. This time-varying ICC model is superior to the constant ICC model in a Fama-MacBeth regression setting … to predict future realised returns. And using the expected return of the time varying ICC model as control in a Fama-MacBeth … regression of the profitability, the investment and the value factor, both the profitability and the value factor become …

Persistent link: https://www.econbiz.de/10012487967

Momentum and disposition effect in the US stock market

Sadhwani, Ranjeeta; Bhayo, M. U. R. - In: Cogent economics & finance 9 (2021) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10013184447

The impact of downside risk on expected return : evidence from emerging economies

Raza, Hassan; Hasan, Arshad; Rashid, Abdul - In: The Lahore journal of business 8 (2019) 1, pp. 91-106

Persistent link: https://www.econbiz.de/10012299297

A note on the coefficient of determination in regression models with infinite-variance variables

Loretan, Michael Stanislaus; Kurz-Kim, Jeong-Ryeol - 2007

Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on...

Persistent link: https://www.econbiz.de/10010295847

A note on the coefficient of determination in regression models with infinite-variance variables

Loretan, Michael Stanislaus; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2007

Persistent link: https://www.econbiz.de/10005083093