Search Results - subject:"four factor model"

Analysis of liquidity-study on Indian mid-cap stocks

Kumar, Gaurav; Misra, Arun Kumar - In: International journal of economics and finance 7 (2015) 10, pp. 112-125

Persistent link: https://www.econbiz.de/10011376084

Constructing a multifactor model for the Shanghai stock exchange

Chen, Hsin-Hung; Ku, Kuang-ping; Lee, Hsiu-yun - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 51-67

Persistent link: https://www.econbiz.de/10011459679

The market timing ability and return performance of Islamic equities : an empirical study

Mohammad, Nazeeruddin; Ashraf, Dawood - In: Pacific-Basin finance journal 34 (2015), pp. 169-183

Persistent link: https://www.econbiz.de/10011535326

SHORT-RUN ARBITRAGE IN CRISIS MARKETS — EXPERIMENTAL EVIDENCE

SONSINO, DORON; SHAVIT, TAL - In: Annals of Financial Economics (AFE) 09 (2014) 01, pp. 1450002-1

late 2008 where stock prices shrunk by 50%. Positions were closed after three months and the four-factor model was applied …

Persistent link: https://www.econbiz.de/10011011027

Persistence of performance using the four-factor pricing model : evidence from Dow Jones Islamic Index

El Khamlichi, Abdelbari; Arouri, Mohamed; Teulon, Frédéric - In: The journal of applied business research 30 (2014) 3, pp. 917-927

Persistent link: https://www.econbiz.de/10010370792

Tangent portfolio weights without explicitly specified expected returns

Glabadanidis, Paskalis - In: The journal of asset management 15 (2014) 3, pp. 177-190

Persistent link: https://www.econbiz.de/10010415936

Short-run arbitrage in crisis markets : experimental evidence

Sonsino, Doron; Shavit, Tal - In: Annals of financial economics 9 (2014) 1, pp. 1-60

Persistent link: https://www.econbiz.de/10010489148

Size, value, and momentum in emerging market stock returns

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

In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in...

Persistent link: https://www.econbiz.de/10010682547

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

INFORMATION CONTENT OF CHANGES IN PENSION PLAN FUNDING STATUS AND LONG-TERM DEBT

Castro-González, Karen C. - In: The International Journal of Business and Finance Research 6 (2012) 1, pp. 1-14

This study investigates whether investors efficiently incorporate changes in defined benefit pension plan information in stock prices. The sample is comprised of public US companies with available data from 1980 to 2005. Fama and French three factor (1993) and four factor models results reveal...

Persistent link: https://www.econbiz.de/10011206056