Search Results - subject:"Size and value premiums"

Size, value and business cycle variables: The three-factor model and future economic growth: Evidence from an emerging market

Ali, Fahad; He, RongRong; Jiang, YueXiang - In: Economies 6 (2018) 1, pp. 1-24

The paper empirically investigates three different methods to construct factors and identifies some pitfalls that arise in the application of Fama-French's three-factor model to the Pakistani stock returns. We find that the special features in Pakistan significantly affect size and value factors...

Persistent link: https://www.econbiz.de/10012009817

Size, value and business cycle variables : the three-factor model and future economic growth : evidence from an emerging market

Ali, Fahad; He, RongRong; Jiang, Yuexiang - In: Economies : open access journal 6 (2018) 1, pp. 1-24

The paper empirically investigates three different methods to construct factors and identifies some pitfalls that arise in the application of Fama-French’s three-factor model to the Pakistani stock returns. We find that the special features in Pakistan significantly affect size and value...

Persistent link: https://www.econbiz.de/10011853557

Investor sentiment, momentum, and stock returns : an examination for direct and indirect effects

Rashid, Abdul; Fayyaz, Madiha; Karim, Maria - In: Economic research 32 (2019) 1,3, pp. 2638-2656

Persistent link: https://www.econbiz.de/10012585541

Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises

Engsted, Tom; Møller, Stig V. - School of Economics and Management, University of Aarhus - 2011

explaining the size and value premiums in cross-sectional data that include both the Fama-French portfolios and industry …

Persistent link: https://www.econbiz.de/10008836604

Cross-sectional consumption-based asset pricing : a reappraisal

Engsted, Tom; Møller, Stig Vinther - In: Economics letters 132 (2015), pp. 101-104

Persistent link: https://www.econbiz.de/10011431410