Search Results - subject:"Fama and French Three Factor Model"

Asset Pricing Behaviour with Dual-Beta in Case of Pakistani Stock Market

Javid, Attiya Y.; Ahmad, Eatzaz - In: The Pakistan Development Review 50 (2011) 2, pp. 95-118

compared with the unconditional Fama and French three factor model and the unconditional dual-beta CAPM in explaining the … and French three factor model has performed better than the conditional CAPM when news asymmetry was taken into account … down-side risk, while a negative premium is associated with up-market beta. The results suggest that the conditional Fama …

Persistent link: https://www.econbiz.de/10010659966

A five-factor asset pricing model : empirical evidence from Egypt

Taha, Rehab; El-Giziry, Khairy - In: International journal of business 21 (2016) 4, pp. 342-372

Persistent link: https://www.econbiz.de/10011584057

Is the CAPM dead or alive in the Brazilian market?

Yoshino, Joe Akira; Santos, Edson Bastos e - In: Review of applied economics 12 (2016) 1/2, pp. 127-142

Persistent link: https://www.econbiz.de/10011672514

Asset selection using factor model and data envelope analysis : a quantile regression approach

Singh, Abhay Kumar; Allen, David E. - 2010

Persistent link: https://www.econbiz.de/10008760318

Is the CAPM Dead or Alive in the Brazilian Market?

Yoshino, Joe Akira; Santos, Edson Bastos e - In: Review of Applied Economics 5 (2009) 1-2

The central purpose of this work is to test the Sharpe-Lintner-Black Capital Asset Pricing Model in the Brazilian equity market. We have concluded that the CAPM is dead in the Brazilian equity market because, besides using the market premiums to explain the panel equity premiums, there are also...

Persistent link: https://www.econbiz.de/10010911560

Factor neutral portfolios

Valle, Cristiano A.; Meade, Nigel; Beasley, John E. - In: OR spectrum : quantitative approaches in management 37 (2015) 4, pp. 843-867

Persistent link: https://www.econbiz.de/10011350637

Fundamental indexation and the Fama-French three factor model : risk assimilation or stock mispricing?

Shi, Xiaofeng; Dempsey, Michael; Irlicht, Laurence - In: Journal of investment management : JOIM 13 (2015) 4, pp. 57-70

Persistent link: https://www.econbiz.de/10011640358

Tangent portfolio weights without explicitly specified expected returns

Glabadanidis, Paskalis - In: The journal of asset management 15 (2014) 3, pp. 177-190

Persistent link: https://www.econbiz.de/10010415936

Testing the applicability of the Fama and French three factor model in Bursa Malaysia

Monfared, Mahdi Mohammadzadeh; Wasiuzzaman, Shaista - In: Journal of international economic review 7 (2014) 2, pp. 133-143

Persistent link: https://www.econbiz.de/10010483716

Performance models for initial public offerings

Vu, Nancy; Worthington, Andrew Charles; Laird, Phillip - In: Economic and financial modeling of markets, …, (pp. 197-215). 2014

Persistent link: https://www.econbiz.de/10010437665