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Firm Characteristics and Empirical Factor Models : A Model-Mining Experiment

Kogan, Leonid - 2020

''A three-factor model using momentum and cashflow-to-price factors explains 14 asset pricing anomalies.'' Our model … models match a larger fraction of target return cross-sections than the CAPM or Fama-French three-factor model, respectively …

Persistent link: https://www.econbiz.de/10012857151

Size, value effects and the explanatory power of pricing models : evidence from BSE listed Indian industries

Sharma, Bhumiswor; Srikanth P; Suresha B. - In: Scientific papers of the University of Pardubice 30 (2022) 2, pp. 1-17

The firm size and value anomalies are the global-level counterpart for explaining the cross-sectional variations of …-known pricing models - CAPM, three-and five-factor across and within 15 Indian industries. The study considers all firms listed on … that size and value effects exist in almost all industries, presenting that size and value anomalies are the most prominent …

Persistent link: https://www.econbiz.de/10014440925

Media coverage and stock returns on the London Stock Exchange, 1825-70

Turner, John D.; Ye, Qing; Walker, Clive B. - 2016

News media plays an important role in modern financial markets. In this paper, we analyse the role played by the news media in an historical financial market. Using The Times's coverage of companies listed on the London stock market between 1825 and 1870, we examine the determinants of media...

Persistent link: https://www.econbiz.de/10011458919

Chapter 15 Anomalies and market efficiency

Schwert, G. William - 2003

Anomalies are empirical results that seem to be inconsistent with maintained theories of asset-pricing behavior. They … are documented and analyzed in the academic literature, anomalies often seem to disappear, reverse, or attenuate. This … anomalies were simply statistical aberrations that attracted the attention of academics and practitioners. One of the …

Persistent link: https://www.econbiz.de/10014023856

Machine learning predictions of international stock returns

Tobek, Ondrej - 2019

Persistent link: https://www.econbiz.de/10012387039

Diversify and Purify Factor Premiums in Equity Markets

Carvalho, Raul Leote de - 2017

In this paper we consider the question of how to improve the efficacy of strategies designed to capture factor premiums in equity markets and, in particular, from the value, quality, low risk and momentum factors. We consider a number of portfolio construction approaches designed to capture...

Persistent link: https://www.econbiz.de/10012966327

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

market price of risk. We show empirically that a conditional CAPM that accounts for time variation in equity nonlinearity …

Persistent link: https://www.econbiz.de/10012910108

Common risk factors in equity markets

Atanasov, Victoria - 2014 - This version: May 26, 2014

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...

Persistent link: https://www.econbiz.de/10010362976

Illiquidity Exposure of Size and Value in Malaysian Equity Returns

Jais, Mohamad - 2016

2013. Results indicate the significance of illiquidity over size and value factors. Capital Assets Pricing Model (CAPM … characteristics subordinates CAPM's explanatory power. Momentum trading strategy is profitable in short to intermediate horizons, yet …

Persistent link: https://www.econbiz.de/10012996294

Illiquidity Exposure of Size and Value in Malaysian Equity Returns

Jais, Mohamad - 2016

Persistent link: https://www.econbiz.de/10012988437