Search Results - subject:"Three factor Model"

Size, value, and momentum in emerging market stock returns

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

Persistent link: https://www.econbiz.de/10010243168

A risk-based explanation of return patterns : evidence from the Polish stock market

Waszczuk, Antonina - In: Emerging markets review 15 (2013), pp. 186-210

Persistent link: https://www.econbiz.de/10009748593

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), pp. 122-135

Persistent link: https://www.econbiz.de/10009748614

The Capital Asset Prising Model (CAPM) : the history of a failed revolutionary idea in finance

Dempsey, Michael - In: Abacus : a journal of accounting, finance and business … 49 (2013), pp. 7-23

Persistent link: https://www.econbiz.de/10009713224

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

Oberndorfer, Ulrich; Schmidt, Peter S.; Wagner, Marcus; … - In: Journal of environmental economics and management : … 66 (2013) 3, pp. 497-509

Persistent link: https://www.econbiz.de/10010359116

Is idiosyneratic risk priced?

Hsieh, Tsung-yu; Lee, Huai-i; Lin, Jia-yuan; Chang, Chih-yu - In: The empirical economics letters : a monthly … 12 (2013) 9, pp. 961-966

Persistent link: https://www.econbiz.de/10010362325

Sectoral responses of the Chinese stock market to international oil shocks

Zhang, Dayong; Cao, Hong - In: Emerging markets finance & trade : a journal of the … 49 (2013) 6, pp. 37-51

Persistent link: https://www.econbiz.de/10010346308

Size and book to market effects vs co-skweness and co-kurtosis in explaining stock returns

Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2005

In this study, we test the size and the book to market effects in explaining stock returns with co-skewness and co-kurtosis on the French Stock Market over July 1976 to June 2001 period. Results of time series regressions of monthly portfolio returns are consistent with the Fama and French...

Persistent link: https://www.econbiz.de/10010707540

Asset pricing and the illiquidity premium

Chan, Howard Wei-hong; Faff, Robert W. - In: The financial review : the official publication of the … 40 (2005) 4, pp. 429-458

Persistent link: https://www.econbiz.de/10003211775

Size and book-to-market factors in Australia

Brailsford, Tim; Gaunt, Clive; Michael A Oâ€™Brien - In: Australian Journal of Management 37 (2012) 2, pp. 261-281

There is continuing debate in the asset-pricing literature as to the acceptance of the Famaâ€“French three-factor model … employed in prior studies. With these advances, the study is more able to test the three-factor model against the capital asset …

Persistent link: https://www.econbiz.de/10011135713