Search Results - subject:"Multifactor Models"

On comparing zero-alpha tests across multifactor asset pricing models

Moor, Lieven de; Dhaene, Geert; Sercu, Piet - In: Journal of banking & finance 61 (2015) 2, pp. 235-240

Persistent link: https://www.econbiz.de/10011586907

Idiosyncratic volatility, momentum, liquidity, and expected stock returns in developed and emerging markets

Switzer, Lorne N.; Picard, Alan - In: Multinational finance journal : MF ; quarterly … 19 (2015) 3/4, pp. 169-221

Persistent link: https://www.econbiz.de/10011434211

Value, size, momentum, and unique role of microcaps in CEE market stock returns

Zaremba, Adam - In: Eastern European economics 53 (2015) 3, pp. 221-241

Persistent link: https://www.econbiz.de/10011373707

A comparative analysis of oil as a risk factor in Australian industry stock returns, 1980-2006

McSweeney, E.; Worthington, A. C. - 2007

This paper uses a multifactor model to examine the role of crude oil as a pricing factor in Australian excess industry returns over the period January 1980 to August 2006. A dynamic model is also specified to provide insights into the relationship between the stock market and past oil price...

Persistent link: https://www.econbiz.de/10009457366