Search Results - subject:"Three factor model"

Firm characteristics and empirical factor models : a model mining experiment

Tian, Mary - In: The review of financial studies 34 (2021) 12, pp. 6087-6125

Persistent link: https://www.econbiz.de/10012694515

Fama-French five-factor asset pricing model : empirical evidence from Indian stock market

Tripathi, Vanita; Singh, Pardeep - In: International journal of business and globalisation : IJBG 27 (2021) 1, pp. 70-91

Persistent link: https://www.econbiz.de/10012505788

Is value premium driven by risk in the stock exchange of Thailand? : a comparison of the Fama/French three-factor model and Fama/French five-factor model

Nongnit Chancharat; Parichat Sinlapates - In: International journal of monetary economics and finance … 14 (2021) 4, pp. 314-322

Persistent link: https://www.econbiz.de/10012613327

Cross-section of returns in frontier markets : evidence from the GCC markets

Alhashel, Bader S. - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 3, pp. 798-823

Persistent link: https://www.econbiz.de/10012483254

Size, value, and momentum in Polish equity returns: Local or international factors?

Zaremba, Adam; Konieczka, Przemysław - In: International Journal of Management and Economics 53 (2017) 3, pp. 26-47

This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart four-factor models on the Polish market. We use stock level data from April 2001 to January 2014 and find strong evidence for value and momentum effects, but only weak evidence...

Persistent link: https://www.econbiz.de/10015192189

Size, value, and momentum in Polish equity returns : local or international factors?

Zaremba, Adam; Konieczka, Przemysław - In: International journal of management and economics 53 (2017) 3, pp. 26-47

Persistent link: https://www.econbiz.de/10012026674

Asset selection using factor model and data envelope analysis : a quantile regression approach

Singh, Abhay Kumar; Allen, David E. - 2010

Persistent link: https://www.econbiz.de/10008760318

A comparative study between the Fama and French three-factor model and the Fama and French five-factor model : evidence from the Egyptian stock market

Ragab, Nada S.; Abdou, Rabab K.; Sakr, Ahmed M. - In: International journal of economics and finance 12 (2020) 1, pp. 52-69

Persistent link: https://www.econbiz.de/10012201907

An application of the Fama-French three-factor model to lodging REITs : a 20-year analysis

Jackson, Leonard A. - In: Tourism and hospitality research : THR 20 (2020) 1, pp. 31-40

Persistent link: https://www.econbiz.de/10012165758

Testing factor models in Indonesia

Foye, James; Valentinčič, Aljoša - In: Emerging markets review 42 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012414373