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  • Search: subject_exact:"Fama-French model"
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Year of publication
Subject
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Fama-French model 93 CAPM 60 Capital income 45 Kapitaleinkommen 45 Fama-French-Modell 33 Börsenkurs 30 Portfolio selection 29 Portfolio-Management 29 Share price 29 Aktienmarkt 21 Estimation 21 Schätzung 21 Stock market 21 Theorie 14 Theory 14 Asset pricing 13 India 13 Fama-French Model 12 Indien 12 Capital market returns 10 Fama–French model 10 Kapitalmarktrendite 10 Behavioural finance 9 Risikoprämie 9 Risk premium 9 Anlageverhalten 8 Australia 8 Australien 8 USA 8 United States 8 Event study 7 liquidity 7 Factor analysis 6 Faktorenanalyse 6 corporate bonds 6 Beta risk 5 Betafaktor 5 Ereignisstudie 5 Estimation theory 5 Inference 5
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Online availability
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Undetermined 53 Free 38 CC license 3
Type of publication
All
Article 99 Book / Working Paper 28
Subcategories
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Article in journal 99 Working paper 26 Book section 1
Language
All
English 94 Undetermined 32 German 1
Author
All
Sehgal, Sanjay 16 Gharghori, Philip 9 Faff, Robert 6 Faff, Robert W. 5 Gao, Jiti 5 Houweling, Patrick 5 Linton, Oliver 5 Ma, Shujie 5 Vorst, Ton 5 Docherty, Paul 4 Jain, Sakshi 4 Nguyen, Annette 4 Ajit, D. 3 Balakrishnan, A. 3 Chan, Howard Wei-hong 3 Chan, Kwok Ho 3 Donker, Han 3 Fung, Ka Wai Terence 3 Mentink, Albert 3 Patnaik, Sapan 3 Subramaniam, Srividya 3 Bannier, Christina E. 2 Bofinger, Yannik 2 Chai, Daniel 2 Chan, Howard 2 Deisting, Florent 2 Easton, Steve 2 Ferstl, Robert 2 González, Jorge 2 Hoechle, Daniel 2 Jain, Kanu 2 Klein, Rudolf F. 2 Lan, Sai 2 Lau, Chi Keung Marco 2 Lee, Darren 2 Mentink, A.A. 2 Mirza, Nawazish 2 Rock, Björn 2 Roma, Antonio 2 Saleh, Walid 2
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Department of Economics, College of Business and Economics 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 HAL 1 National Bureau of Economic Research 1 Research Department, Borsa İstanbul 1 School of Finance, Universität St. Gallen 1 Tinbergen Institute 1 Tinbergen Instituut 1
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Published in...
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Review of asset pricing studies : RAPS 4 The journal of beta investment strategies 4 IIMB management review 3 Journal of financial and quantitative analysis : JFQA 3 Pacific-Basin finance journal 3 Accounting and finance : journal of the Accounting Association of Australia and New Zealand 2 Australian Journal of Management 2 BuR - Business Research 2 Economic modelling 2 Finance research letters 2 International review of economics & finance : IREF 2 MPRA Paper 2 The International Journal of Business and Finance Research 2 The international journal of business and finance research : IJBFR 2 Tinbergen Institute Discussion Papers 2 Vision 2 Working paper / National Bureau of Economic Research, Inc. 2 Working papers on finance 2 Abacus : a journal of accounting, finance and business studies 1 Applied Financial Economics 1 Applied economics 1 Asia Pacific financial markets 1 Asian Academy of Management Journal of Accounting and Finance 1 Benchmarking : an international journal 1 CEMMAP working papers / Centre for Microdata Methods and Practice 1 CFS Working Paper Series 1 CFS working paper series 1 CREB working paper 1 Cambridge working papers in economics 1 Chinese Management Studies 1 Chinese management studies : CMS 1 Corporate finance : Finanzierung, Kapitalmarkt, Bewertung, Mergers & Acquisitions 1 Discussion paper / Tinbergen Institute 1 Econometric Institute Report 1 Econometric Institute Research Papers 1 Economic Annals 1 Economic Modelling 1 Economic Systems 1 Economic and financial modeling of markets, institutions and instruments 1 Economic notes 1
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Source
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ECONIS (ZBW) 84 RePEc 33 EconStor 5 Other ZBW resources 4 BASE 1
Showing 1 - 50 of 108
 
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ESG rating disagreement portfolios : evidence from the EuroStoxx 600
Horky, Florian; Pasquali, Andrea; Magazzino, Cosimo - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015080862
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Forward Selection Fama-MacBeth Regression with Higher Order Asset-Pricing Factors
Borri, Nicola; Četverikov, Denis N.; Liu, Yukun; … - 2025
We show that the higher-orders and their interactions of the common sparse linear factors can effectively subsume the factor zoo. We propose a forward selection Fama-MacBeth procedure as a method to estimate a high-dimensional stochastic discount factor model, isolating the most relevant...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015398116
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What drives the size and value factors?
Li, Jiacui - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013543032
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Local, regional, or global asset pricing?
Hollstein, Fabian - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012805786
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Is the value effect due to M&A deals? : evidence from the Italian stock market
Roma, Antonio - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012795400
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Is the value effect due to M&A deals? : evidence from the Italian stock market
Roma, Antonio - 2020
Book / Working Paper
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Examining the underexamined : mid-cap stock returns
Kaprielyan, Magarita; Jansen, Benjamin - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014536072
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Taking over the size effect : asset pricing implications of merger activity
Easterwood, Sara; Netter, Jeffry M.; Paye, Bradley; … - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014520121
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The effect of macroeconomic variables on the robustness of the traditional Fama-French model: A study for Mexico using different portfolios
Saucedo, Eduardo; González, Jorge - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013192205
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The effect of macroeconomic variables on the robustness of the traditional Fama-French model : a study for Mexico using different portfolios
Saucedo, Eduardo; González, Jorge - 2021
Purpose - Fama-French model (FFM) has been successful in helping to predict the financial markets, but investors have been interested in creating more sophisticated models to better predict the performance of the stock market. The objective of the extended version is to create a more robust...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012813864
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Do select macroeconomic factors drive momentum returns?
Balakrishnan, A.; Barik, Nirakar - 2021
In this paper, we examine the presence of short-term and long-term momentum returns in Indian stock market. The study also tries to shed light on the power of asset pricing models and select macroeconomic variables in explaining momentum returns. The results confirm the presence of short-term...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012800141
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Economic policy uncertainty and stock return momentum
Goel, Garima; Dash, Saumya Ranjan; Mata, Mário Nuno; … - 2021
This paper investigates the relationship between economic policy uncertainty (EPU), an index capturing newspaper coverage of policy-related issues, and momentum profits. Momentum remains an unexplained anomaly. Our findings reveal a statistically negative association between EPU and hedge...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012520194
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A return based measure of firm quality
Jagannathan, Ravi; Zhang, Yang - 2020
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012306214
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Intangible value
Eisfeldt, Andrea L.; Kim, Edward; Papanikolaou, Dimitris - 2020
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012395521
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Beta-Schätzer in Deutschland : Vergleich und Prognosefähigkeit für zukünftige Aktienrenditen
Köstlmeier, Siegfried; Röder, Klaus - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013502571
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Analyzing the stock market performance of central public sector enterprises disinvested through public offering mode : Indian evidence
Mandiratta, Priya; Bhalla, Gurwinder Singh - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014231857
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Evaluating the performance of energy exchange-traded funds
Malhotra, Davinder Kumar; Marino, Michael - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014484960
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Asset pricing in the Brazilian financial market : five-factor GAMLSS modeling
Regis, Renan O.; Ospina, Raydonal; Silva, Wilton … - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014253815
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Brand equity and stock performance in time of crisis : evidence from the COVID-19 pandemic
Farhang, Maryam; Kamran-Disfani, Omid; Zadeh, Arash H. - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014229059
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Doing safe by doing good: ESG investing and corporate social responsibility in the U.S. and Europe
Bannier, Christina E.; Bofinger, Yannik; Rock, Björn - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012025390
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Estimation and inference in semiparametric quantile factor models
Ma, Shujie; Linton, Oliver; Gao, Jiti - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012619426
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Estimation and inference in semiparametric quantile factor models
Ma, Shujie; Linton, Oliver; Gao, Jiti - 2017
Book / Working Paper
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Estimation and inference in semiparametric quantile factor models
Ma, Shujie; Linton, Oliver; Gao, Jiti - 2019
Book / Working Paper
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Doing safe by doing good : ESG investing and corporate social responsibility in the U.S. and Europe
Bannier, Christina E.; Bofinger, Yannik; Rock, Björn - 2019
This paper examines the profitability of investing according to environmental, social and governance (ESG) criteria in the U.S. and Europe. Based on data from 2003 to 2017, we show that a portfolio long in stocks with the highest ESG scores and short in those with the lowest scores yields a...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012025370
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Extracting factor loadings from capital market assumptions : what is embedded in forecast hedge fund returns?
Jennings, William W.; Payne, Brian C. - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013179165
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Empirical evidence on asset pricing and time-varying beta
Arora, Deeksha; Gakhar, Divya Verma - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013258329
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Capital structure priority effects in durations, stock-bond comovements, and factor pricing models
Choi, Jaewon; Richardson, Matthew; Whitelaw, Robert F. - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013349365
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Combining value and profitability factors to improve performance
Berkin, Andrew L.; Swedroe, Larry E. - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014233086
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Special section editor's introduction for 2022 special issue on factor investing
Wolle, Scott - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014233099
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Factor investing : from theory to practice
Gupta, Tarun; Raol, Jay; Roscovan, Viorel - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014233100
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Value's lost decade : learning from value strategies' behavior over two contrasting decades
Alighanbari, Mehdi; Jain, Arihant; Katiyar, Saurabh; … - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014233120
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Liquidity, time-varying betas and anomalies : is the high trading activity enhancing the validity of the CAPM in the UK equity market?
Rojo-Suárez, Javier; Alonso-Conde, Ana Belén; … - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012814339
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Estimation in semiparametric quantile factor models
Ma, Shujie; Linton, Oliver; Gao, Jiti - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011941430
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Estimation in semiparametric quantile factor models
Ma, Shujie; Linton, Oliver; Gao, Jiti - 2018
We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for inference that are robust to the existence of moments and to the form of weak cross-sectional dependence in the idiosyncratic error term. We apply our method to CRSP daily data.
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011775200
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Credit risk and equity returns in China
Li, Tangrong; Lin, Hui - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013175864
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Are prominent equity market anomalies in India fading away?
Sharma, Gagan Deep; Subramaniam, Srividya; Sehgal, Sanjay - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012483276
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Size effect in Indian equity market : myth or reality?
Vasishth, Vibhuti; Sehgal, Sanjay; Sharma, Gagan - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012486287
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Multifactor models and their consistency with the APT
Cooper, Ilan; Ma, Liang; Maio, Paulo; Philip, Dennis - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012545909
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The value premium
Fama, Eugene F.; French, Kenneth Ronald - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012434666
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Tests of the Fama and French three factor model with reference to industry cost of equity : evidence from India
Datta, Smita; Chakraborty, Anindita - 2020
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012669590
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A Performance Evaluation Model for Global Macro Funds
Zaremba, Adam - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010762534
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A performance evaluation model for global macro funds
Zaremba, Adam - 2013
Article
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Explaining the cross-sectional patterns of UK expected stock returns : the effect of intangibles
Saleh, Walid - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010459775
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Explaining the Cross-Sectional Patterns of UK Expected Stock Returns: The Effect of Intangibles
Saleh, Walid - 2014
Article
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Risk premium contributions of the Fama and French mimicking factors
Bank, Matthias; Insam, Franz - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012419218
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Investor sentiment and its role in asset pricing : an empirical study for India
Pandey, Piyush; Sehgal, Sanjay - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012213117
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Which model best explains the returns of large Australian stocks?
Chai, Daniel; Chiah, Mardy; Gharghori, Philip - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012169529
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Determining Systemic Risk Factors in Borsa Istanbul
Yuksel, Serkan - 2013
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010752771
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The Conditional CAPM, Cross-Section Returns and Stochastic Volatility
Fung, Ka Wai Terence; Lau, Chi Keung Marco; Chan, Kwok Ho - 2013
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011258919
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How does marketing capability impact abnormal stock returns? : the mediating role of growth
Angulo-Ruiz, Fernando; Donthu, Naveen; Prior, Diego; … - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011771730
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Idiosyncratic volatility in the Australian equity market
Zhong, Angel - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012033763
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Profitability of reversal strategies : a modified version of the Carhart model in China
Zhang, Wei; Wang, Guanying; Wang, Xingchun; Xiong, Xiong; … - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012016080
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The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide: An Event Study
Ferstl, Robert; Utz, Sebastian; Wimmer, Maximilian - 2012
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010548945
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The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide: An Event Study
Ferstl, Robert; Utz, Sebastian; Wimmer, Maximilian - 2012
Article
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Measuring long-term performance : a regression based generalization of the calendar time portfolio approach
Hoechle, Daniel; Schmid, Markus M.; Zimmermann, Heinz - 2012
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010409214
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Measuring Long-term Performance: a Regression Based Generalization of the Calendar Time Portfolio Approach
Hoechle, Daniel; Schmid, Markus; Zimmermann, Heinz - 2012
Book / Working Paper
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An alternative three-factor model for international markets : evidence from the European Monetary Union
Ammann, Manuel; Odoni, Sandro; Oesch, David - 2012 - This version: 1 February 2012
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009564267
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