Search Results - subject:"Fama–MacBeth regression"

A new salient factor and equity returns : empirical evidence from A-Shares

Zhou, Hailin; Hu, Zhangzhi; Wu, Xinyu - In: Applied economics letters 32 (2025) 2, pp. 286-294

Persistent link: https://www.econbiz.de/10015195293

The asset-pricing implications of carbon risk in Korea

Park, Dojoon; Lee, Jiyoon; Park, Hyejin - In: Journal of international financial management & accounting 35 (2024) 1, pp. 7-35

Persistent link: https://www.econbiz.de/10014472371

A cross-sectional asset pricing test with more power : an instrumental variable approach

Hur, Jungshik - 2024

Persistent link: https://www.econbiz.de/10015050153

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

Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors?

Teng, Huei-Wen; Li, Yu-Hsien - In: Digital finance : smart data analytics, investment … 5 (2023) 1, pp. 149-182

Persistent link: https://www.econbiz.de/10014251571

Risk-adjusted farm returns and farm size

Noumir, Ashraf M.; Langemeier, Michael R.; Mallory, Mindy L. - In: Agricultural finance review 83 (2023) 3, pp. 528-547

Persistent link: https://www.econbiz.de/10014315086

Liquidity risk and expected cryptocurrency returns

Zhang, Wei; Li, Yi - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 472-492

Persistent link: https://www.econbiz.de/10014253217

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