Search Results - subject:"Three factor model"

MODELING PORTFOLIO RETURNS ON BUCHAREST STOCK EXCHANGE USING THE FAMA-FRENCH MULTIFACTOR MODEL

ANGHEL, Andrei; DUMITRESCU, Dalina; TUDOR, Cristiana - In: Journal for Economic Forecasting (2015) 1, pp. 22-46

The Fama–French three-factor model is known to explain the cross-section of average returns better than the market beta … on a complex, correct and complete database. We show that the three-factor model captures more variation in portfolio …

Persistent link: https://www.econbiz.de/10011265553

Systematic Risk Changes, Negative Realized Excess Returns and Time-Varying CAPM Beta

Novak, Jiri - In: Czech Journal of Economics and Finance (Finance a uver) 65 (2015) 2, pp. 167-190

We make two methodological modifications to the method of testing CAPM beta and we show that these significantly affect inferences about the association between CAPM beta and stock returns. While the conventional beta proxy is indeed largely unrelated to realized stock returns (in fact the...

Persistent link: https://www.econbiz.de/10011240299

The role of the volatility index in asset pricing : the case of the Indian stock market

Pati, Pratap Chandra; Rajib, Prabina; Barai, Parama - In: The quarterly review of economics and finance : journal … 74 (2019), pp. 336-346

Persistent link: https://www.econbiz.de/10012297322

Does the five-factor asset pricing model have sufficient power?

Dutta, Anupam - In: Global business review 20 (2019) 3, pp. 684-691

Persistent link: https://www.econbiz.de/10012036080

The three-factor model and China's multiple stock markets

Han, Shi-Zhuan; Zhang, Li; Han, Guang-Yu; Wang, Lei - In: Journal of international commerce, economics and policy 10 (2019) 3, pp. 1-16

Persistent link: https://www.econbiz.de/10012429233

Fama-French, CAPM, and implied cost of equity

Mishra, Dev R.; O'Brien, Thomas J. - In: Journal of economics & business 101 (2019), pp. 73-85

Persistent link: https://www.econbiz.de/10012595268

Re-examination of Fama-French models in the Korean stock market

Rugwiro, Serge; Choi, SungSup Brian - In: Asia-Pacific financial markets 26 (2019) 1, pp. 23-45

Persistent link: https://www.econbiz.de/10012307996

Size and value premiums in the Indian stock market

Aziz, Tariq; Ansari, Valeed Ahmad - Volkswirtschaftliche Fakultät, … - 2014

three-factor model of Fama and French (1993) is regarded as a ground-breaking multi-factor asset pricing model. This paper … examines the performance of the three-factor model of Fama and French (1993) in the Indian stock market for the period 2000 … market during the sample period. The three-factor model performs better than the CAPM, as the GRS test is unable to reject it. …

Persistent link: https://www.econbiz.de/10011113482

ПОСТРОЕНИЕ МОДЕЛИ ОЦЕНКИ МАРКЕТИНГОВОЙ УСТОЙЧИВОСТИ КОМПАНИЙ

ПЕТРОВНА, ГЕРАЩЕНКО ИРИНА; … - In: Вестник Томского … (2014) 3, pp. 18-29

Дано определение маркетинговой устойчивости компании и ее роли на современном этапе развития. Выделены три составляющие маркетинговой устойчивости: рыночная,...

Persistent link: https://www.econbiz.de/10011236901

The Impact of Information Risk on the Systematic Risk

Moeinadin, Mahmoud; Heirany, Forough; Khoshnood, Ehsan - In: International Journal of Academic Research in Business … 4 (2014) 1, pp. 90-98

Systematic risk is among the most significant topics and has been Longley considered by the researchers of the capital market. The final goal of the most investors, stakeholders and managers achieve the highest return. They confront risk and it is necessary to equilibrate the risk and return....

Persistent link: https://www.econbiz.de/10010737610