Search Results - subject:"Fama and French"

A common component of Fama and French factor variances

Fathi, Masoumeh; Grobys, Klaus; Äijö, Janne - 2025

Persistent link: https://www.econbiz.de/10015359779

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

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

Economic policy uncertainty and stock return momentum

Goel, Garima; Dash, Saumya Ranjan; Mata, Mário Nuno; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-17

This paper investigates the relationship between economic policy uncertainty (EPU), an index capturing newspaper coverage of policy-related issues, and momentum profits. Momentum remains an unexplained anomaly. Our findings reveal a statistically negative association between EPU and hedge...

Persistent link: https://www.econbiz.de/10012520194

Comparison of multifactor asset pricing models in the South African stock market [2000-2016]

Mukoyi, Lenia; Kanayo, Ogujiuba - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-22

financial sectors, as well as the applicability of the Fama and French five-factor model. The study used multiple regression …

Persistent link: https://www.econbiz.de/10014332779

Comparison of multifactor asset pricing models in the South African stock market [2000-2016]

Mukoyi, Lenia; Kanayo, Ogujiuba - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-22

financial sectors, as well as the applicability of the Fama and French five-factor model. The study used multiple regression …

Persistent link: https://www.econbiz.de/10014301573

The empirical explanatory power of CAPM and the fama and French three-five factor models in the Moroccan stock exchange

Taib, Asmâa Alaoui; Benfeddoul, Safae - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-19

Moroccan stock exchange: CAPM, the Fama and French three-factor model, and the Fama and French five-factor model. Our sample …

Persistent link: https://www.econbiz.de/10014284650

Intangible value

Eisfeldt, Andrea L.; Kim, Edward; Papanikolaou, Dimitris - 2020

Persistent link: https://www.econbiz.de/10012395521

A return based measure of firm quality

Jagannathan, Ravi; Zhang, Yang - 2020

Persistent link: https://www.econbiz.de/10012306214

Impact of COVID-19 on mutual fund performance in Saudi Arabia

Alqadhib, Haidar; Kulendran, Nada; Seelanatha, Lalith - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-22

and examines the potential impact of COVID-19 growth on the measured performance. The authors apply the Fama and French … when compared to the overall market performance reaction. Moreover, this is the first study that applied the Fama and … French five-factor model to estimate the mutual funds' risk-adjusted performance. …

Persistent link: https://www.econbiz.de/10015074205