phenomenon is prevalent in the broad Chinese markets, covering China, Hong Kong, and Taiwan. While adopting the three-factor … model and value-weighted measure, the differences between the returns of dividend yield portfolio and the market index still …

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 …

model of Fama & French (1993) in the Tunisian stocks ‘market. We estimate a one factor model (CAPM) and the three-factor …-based explanation for size and BE/ME effect. The second purpose of this paper is to examine the explanatory power of the three-factor … model of Fama & French (1993). The results give evidence on the additional explanatory power of SMB and HML factors of Fama …

-sized firms. Book-to-market ratio factor has an effect on portfolios with high book-to-market ratio firms. Fama and French three-factor … model has power on explaining variations on excess portfolio returns but this power is not strong throughout the test period …

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 …