Search Results - subject:"Fama-French five-factor model"

ESG and its components : impact on stock returns across firm sizes in Europe and the United States

Escobar-Saldívar, Luis Jacob; Villarreal-Samaniego, Dacio - In: Risks : open access journal 14 (2026) 1, pp. 1-21

A longstanding debate in finance concerns the impact of social responsibility actions on firms' long-term profitability. This study provides a broad analysis on the relationship between ESG, its components, and stock returns. Using a dataset that spans from December 2014 to December 2023, this...

Persistent link: https://www.econbiz.de/10015611256

Efficiency, concentration, and diversification : portfolio lessons from Indian technology equities

Malhotra, Davinder Kumar; Batra, Shaurya; Singh, Rahul - In: International Journal of Financial Studies : open … 14 (2026) 2, pp. 1-20

This study examines the extent to which Indian technology equities generate sufficient returns relative to their inherent volatility and assesses whether intra-sector diversification can improve outcomes in this dynamic, high-risk sector. Drawing on data from January 2020 to April 2025, ten...

Persistent link: https://www.econbiz.de/10015643105

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

AH premium rate and A-share valuations : DCF analysis of cross-market predictability in dual-listed equities

Zheng, Xiu - In: Finance research letters 85 (2025) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10015562543

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

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

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/10012872607

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

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

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

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

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