This study explores the information content of HML and SMB by linking the Fama-French factors to shocks in the state variables which predict future investment opportunities. It shows that the HML factor contains information about shocks to default spread. Moreover, the Fama-French model explains...

This paper adopts the fractal analysis approach, specifically a Hurst exponent index in portfolio optimization at the Damascus Securities Exchange (DSE). We construct three portfolios based on the Hurst index from stocks listed on the DSE during the period between 2019 and 2021 and find that...

The main objective of this study is to empirically examine the impact of REM on various aspects of investment efficiency, including overinvestment and underinvestment. By examining the interplay between these complex constructs, this research endeavors to provide deeper insights and contribute...