Search Results - subject:"Fama-French Five-Factor model"

Analysis of an event study using the Fama-French five-factor model : teaching approaches including spreadsheets and the R programming language

Martinez-Blasco, Monica; Serrano, Vanessa; Prior, Francesc - In: Financial innovation : FIN 9 (2023) 1, pp. 1-34

first approach consists of a set of MS Excel files based on the Fama-French five-factor model, which allows the application … widens the calculus possibilities provided by the first approach and offers the option to apply not only the Fama-French five-factor … model but also other models that are common in the financial literature. It is a user-friendly tool that enables …

Persistent link: https://www.econbiz.de/10014289092

Forward Selection Fama-MacBeth Regression with Higher Order Asset-Pricing Factors

Borri, Nicola; Četverikov, Denis N.; Liu, Yukun; … - National Bureau of Economic Research - 2025

widely used factors (the Fama-French five-factor model and the momentum factor), we show that the resulting higher …

Persistent link: https://www.econbiz.de/10015398116

An extended fama-french multi-factor model in direct real estate investing

Yiu, Chung Yim; Xiong, Chuyi; Cheung, Ka Shing - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-14

Understanding risk-adjusted returns in real estate investment are crucial, but little is known about the risk-adjusted returns for direct real estate. This paper examines risk-adjusted total returns by developing an extended capital asset pricing model (CAPM) to investigate whether direct real...

Persistent link: https://www.econbiz.de/10014332590

Corporate Environmental Information Disclosure and Investor Response: Empirical Evidence from China's Capital Market

Meng, Jia; Zhang, ZhongXiang - 2022

2020 and controlled the impacts of annual reports on investor response. We apply the Fama-French five-factor model to …

Persistent link: https://www.econbiz.de/10012819793

Predictors of excess return in a green energy equity portfolio: Market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-31

The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global green energy producers, from 2010 to 2019....

Persistent link: https://www.econbiz.de/10013201383

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

Corporate environmental information disclosure and investor response : empirical evidence from China's capital market

Meng, Jia; Zhang, ZhongXiang - 2022

2020 and controlled the impacts of annual reports on investor response. We apply the Fama-French five-factor model to …

Persistent link: https://www.econbiz.de/10012814558

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10012872607

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

An extended fama-french multi-factor model in direct real estate investing

Yiu, Chung Yim; Xiong, Chuyi; Cheung, Ka Shing - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-14

Persistent link: https://www.econbiz.de/10013397750