Search Results - subject:"Three factor Model"

Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms

Oberndorfer, Ulrich; Schmidt, Peter; Wagner, Marcus; … - In: Journal of Environmental Economics and Management 66 (2013) 3, pp. 497-509

, namely the three-factor model according to Fama and French [24], and additionally a t-GARCH(1,1) model. Our empirical results …

Persistent link: https://www.econbiz.de/10010869019

A risk-based explanation of return patterns—Evidence from the Polish stock market

Waszczuk, Antonina - In: Emerging Markets Review 15 (2013) C, pp. 186-210

momentum remains insignificant. The Fama and French (1993) three-factor model, which uses local size and value risk premiums …

Persistent link: https://www.econbiz.de/10011056979

Healthcare industry equity risk premium and book-to-market anomaly in the US stock market

Dong, Huijian; Guo, Xiaomin - In: International Journal of Accounting and Finance 4 (2013) 2, pp. 190-207

healthcare sector into ten subgroups and reveal an anomaly compared to the Fama-French three-factor model. We find significantly …

Persistent link: https://www.econbiz.de/10010722758

Sectoral Responses of the Chinese Stock Market to International Oil Shocks

Zhang, Dayong; Cao, Hong - In: Emerging Markets Finance and Trade 49 (2013) 6, pp. 37-51

We investigate the relationship between international oil shocks and the sectoral dynamics of the Chinese stock market. Our empirical results show that the behavior and response to international oil shocks by the Chinese stock market differ significantly from the behavior and responses of the...

Persistent link: https://www.econbiz.de/10010741951

Size, value, and momentum in emerging market stock returns

Cakici, Nusret; Fabozzi, Frank J.; Tan, Sinan - In: Emerging Markets Review 16 (2013) C, pp. 46-65

In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in...

Persistent link: https://www.econbiz.de/10010682547

Do the production-based factors capture the time-varying patterns in stock returns?

Kang, Hankil; Kang, Jangkoo; Lee, Changjun - In: Emerging Markets Review 15 (2013) C, pp. 122-135

As a summarization of previously suggested production-based approaches, Chen et al. (2010) propose two production-based factors. We examine whether the proposed factors explain the time-varying patterns in stock returns, captured by the common conditioning variables. With a variety of test...

Persistent link: https://www.econbiz.de/10010666221

Healthcare industry equity risk premium and book-to-market anomaly in the US stock market

Dong, Huijian; Guo, Xiaomin - In: International journal of accounting and finance 4 (2013) 2, pp. 190-207

Persistent link: https://www.econbiz.de/10010252929

Attempt to resolve the momentum effect enigma : proposition of investors' progressive rationality

Zoghlami, Faten - In: The journal of asset management 14 (2013) 4, pp. 255-266

Persistent link: https://www.econbiz.de/10010237896

Test of the Fama-French three-factor model in Crotia

Dolinar, Denis - In: UTMS journal of economics / University of Tourism and … 4 (2013) 2, pp. 101-112

This paper empirically examines the Fama-French three-factor model of stock returns for Croatia. In contrast to the … results of Fama and French (1993) for the U.S. stock market, their three-factor model did not show so successful when … describing risk-return relation of Croatian stocks. This paper shows that the Fama-French three-factor model is a valid pricing …

Persistent link: https://www.econbiz.de/10009787020

Individual and aggregate stock returns in Korean stock market

Hahn, TeWhan - In: Journal of international business and economics : JIBE 13 (2013) 1, pp. 89-94

Persistent link: https://www.econbiz.de/10009788105