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

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

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

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

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