Search Results - subject:"Three factor Model"

Recent evidence on the performance and riskiness of contrarian portfolios

Galariotis, Emilios C. - In: The European journal of finance 18 (2012) 7/8, pp. 603-617

Persistent link: https://www.econbiz.de/10009666534

Size, value, and momentum in international stock returns

Fama, Eugene F.; French, Kenneth Ronald - In: Journal of financial economics 105 (2012) 3, pp. 457-472

Persistent link: https://www.econbiz.de/10009666815

Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect

Brooks, Chris; Kappou, Konstantina; Ward, Charles - Henley Business School, University of Reading - 2004

This study examines the abnormal returns, trading activity and long term performance of stocks that were added to the S&P 500 Index during the period 1990 to 2002. By using a three-factor pricing model that allows for firm size and value characteristics as well as market risk, we are able to...

Persistent link: https://www.econbiz.de/10005558322

Testing conditional factor models: A nonparametric approach

Li, Yan; Yang, Liyan - In: Journal of Empirical Finance 18 (2011) 5, pp. 972-992

. Using our new method, we examine the performance of the conditional CAPM and the conditional Fama–French three-factor model …

Persistent link: https://www.econbiz.de/10010576506

Conditional beta pricing models: A nonparametric approach

Ferreira, Eva; Gil-Bazo, Javier; Orbe, Susan - In: Journal of Banking & Finance 35 (2011) 12, pp. 3362-3382

simulations for the conditional version of the three-factor model of Fama and French (1993) and show that nonparametrically … book-to-market sorted portfolios, we find that the nonparametric procedure produces a better fit of the three-factor model …

Persistent link: https://www.econbiz.de/10010577995

A three‐factor valuation model for mortgage‐backed securities (MBS)

Kariya, Takeaki; Ushiyama, Fumiaki; Pliska, Stanley R. - In: Managerial Finance 37 (2011) 11, pp. 1068-1087

proposed by Kariya and Kobayashi to a three‐factor model. The authors describe prepayment behavior due to refinancing and …

Persistent link: https://www.econbiz.de/10014940206

Effect of regulation FD on disclosures of information by firms

Lawrence, Edward; Karels, Gordon; Prakash, Arun; … - In: Applied Financial Economics 21 (2011) 13, pp. 979-996

Critics of Regulation Fair Disclosure (FD) have argued that its enactment would result in not only a decrease in asymmetric information but a decrease in total amount of information disclosed by firms. We investigate this conjecture and find (1) no change in market risk premium, (2) an increase...

Persistent link: https://www.econbiz.de/10009200897

A three-factor valuation model for mortgage-backed securities (MBS)

Kariya, Takeaki; Ushiyama, Fumiaki; Pliska, Stanley R. - In: Managerial Finance 37 (2011) October, pp. 1068-1087

proposed by Kariya and Kobayashi to a three-factor model. The authors describe prepayment behavior due to refinancing and …

Persistent link: https://www.econbiz.de/10010675803

My Life in Finance

Fama, Eugene F. - In: Annual Review of Financial Economics 3 (2011) 1, pp. 1-15

I was invited by the editors to contribute a professional autobiography to the Annual Review of Financial Economics. I focus on what I think is my best stuff. Readers interested in the rest can download my vita from the Web site of the University of Chicago, Booth School of Business. I only...

Persistent link: https://www.econbiz.de/10010603960

Testing conditional factor models : a nonparametric approach

Li, Yan; Yang, Liyan - In: Journal of empirical finance 18 (2011) 5, pp. 972-992

Persistent link: https://www.econbiz.de/10009492521