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Data envelopment analysis and multifactor asset pricing models

Solórzano-Taborga, Pablo; Alonso-Conde, Ana Belén; … - In: International Journal of Financial Studies : open … 8 (2020) 2/24, pp. 1-18

Fama and French three-factor model, combined with an additional factor based on DEA, on a sample of 2101 European equity … create the efficiency factor. Secondly, we estimate the prices of risk tied to the four factors using ordinary least squares … the performance of the model, including and omitting the efficiency factor. The results show that the efficiency factor …

Persistent link: https://www.econbiz.de/10012239304

On the Value Premium in Malaysia

Drew, Michael E.; Veeraraghavan, Madhu - School of Economics and Finance, Business School - 2001

Davis, Fama and French (2000) report that the value premium in United States’ stocks is robust. Herein, we present out …

Persistent link: https://www.econbiz.de/10005635674

Multifactor Models are Alive and Well

Drew, Michael E.; Veeraraghavan, Madhu - School of Economics and Finance, Business School - 2000

A large number of studies have investigated the cross-section of average returns on common stocks in the United States and have found little relationship with the estimated beta of the single-factor model. This paper tests the joint roles of an overall market factor, and factors related to firm...

Persistent link: https://www.econbiz.de/10005181701

Testing asset pricing models with individual stocks : an instrumental variables approach

Candemir, Işıl; Karahan, Cenk C. - In: Borsa Istanbul Review 24 (2024) 5, pp. 952-965

This study empirically tests time-varying asset pricing models in an emerging market with individual stocks. We employ a recently proposed instrumental variables (IV) technique that uses individual stocks as test assets while consistently estimating ex-post risk premiums. This method differs...

Persistent link: https://www.econbiz.de/10015141770

The Cross-Section of German Stock Returns: New Data and New Evidence

Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - In: Schmalenbach Business Review (sbr) 64 (2012) 1, pp. 20-43

-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard cAPM, the Fama-French …

Persistent link: https://www.econbiz.de/10010548163

The cross-Section of German stock returns: New data and new evidence

Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010

test the standard CAPM, the Fama-French three-factor model, and the Carhart four-factor model. Our tests are based on a …

Persistent link: https://www.econbiz.de/10008684975

On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom

Malin, Mirela; Veeraraghavan, Madhu - In: International Journal of Business and Economics 3 (2004) 2, pp. 155-176

In this paper we investigate the robustness of the Fama-French multifactor model for equities listed in three European …

Persistent link: https://www.econbiz.de/10010837294

Investment Decisions: Are we fully-Rational?

Pereira Reichhardt, Joaquín; Iqbal, Tabassum - Volkswirtschaftliche Fakultät, … - 2014

The purpose of this paper is to understand the reasons behind financial market behavior that often does not match that proposed by classic finance models. In particular, this work tests the fully-rational agents assumption made by classic finance to explain investment decisions under...

Persistent link: https://www.econbiz.de/10011110084

Dynamic expectation formation in the foreign exchange market

ter Ellen, Saskia; Verschoor, Willem F.C.; Zwinkels, … - In: Journal of International Money and Finance 37 (2013) C, pp. 75-97

This paper investigates the time-varying nature of expectation formation rules for institutional investors in the foreign exchange market. Using a dataset of survey expectations for four exchange rates, we first distinguish three different general rules. We find a momentum rule, a fundamental...

Persistent link: https://www.econbiz.de/10011048508

Tests of Equity Market Anomalies for Select Emerging Markets

Sehgal, Sanjay; Subramaniam, Srividya; Deisting, Florent - In: The International Journal of Business and Finance Research 8 (2014) 3, pp. 27-46

Korea and South Africa. We find that using the Fama French model (FFM) as performance benchmark the size anomaly is present … compared to CAPM and FFM only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for …

Persistent link: https://www.econbiz.de/10010960338