Search Results - subject_exact:"Fama-French-Modell"

Local, regional, or global asset pricing?

Hollstein, Fabian - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 1, pp. 291-320

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012805786

What drives the size and value factors?

Li, Jiacui - In: Review of asset pricing studies : RAPS 12 (2022) 4, pp. 845-885

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013543032

Taking over the size effect : asset pricing implications of merger activity

Easterwood, Sara; Netter, Jeffry M.; Paye, Bradley; … - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 2, pp. 690-726

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014520121

Economic policy uncertainty and stock return momentum

Goel, Garima; Dash, Saumya Ranjan; Mata, Mário Nuno; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-17

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

Beta-Schätzer in Deutschland : Vergleich und Prognosefähigkeit für zukünftige Aktienrenditen

Köstlmeier, Siegfried; Röder, Klaus - In: Corporate finance : Finanzierung, Kapitalmarkt, … 14 (2023) 1/2, pp. 7-15

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013502571

Intangible value

Eisfeldt, Andrea L.; Kim, Edward; Papanikolaou, Dimitris - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012395521

A return based measure of firm quality

Jagannathan, Ravi; Zhang, Yang - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012306214

Capital structure priority effects in durations, stock-bond comovements, and factor pricing models

Choi, Jaewon; Richardson, Matthew; Whitelaw, Robert F. - In: Review of asset pricing studies : RAPS 12 (2022) 3, pp. 706-753

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013349365

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

The value premium

Fama, Eugene F.; French, Kenneth Ronald - In: Review of asset pricing studies : RAPS 11 (2021) 1, pp. 105-121

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012434666

Multifactor models and their consistency with the APT

Cooper, Ilan; Ma, Liang; Maio, Paulo; Philip, Dennis - In: Review of asset pricing studies : RAPS 11 (2021) 2, pp. 402-444

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012545909

Tests of the Fama and French three factor model with reference to industry cost of equity : evidence from India

Datta, Smita; Chakraborty, Anindita - In: Finance India : the quarterly journal of Indian … 34 (2020) 2, pp. 379-394

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012669590

Firm characteristics and empirical factor models : a data-mining experiment

Kogan, Leonid; Tian, Mary - 2012

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009698084

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

25 Jahre Fama-French-Modell : Erklärungsgehalt, Anomalien und praktische Implikationen

Kaserer, Christoph; Hanauer, Matthias - In: Perspektiven der Wirtschaftspolitik : eine Zeitschrift … 18 (2016) 2, pp. 98-116

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011701635

Asset selection using factor model and data envelope analysis : a quantile regression approach

Singh, Abhay Kumar; Allen, David E. - 2010

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10008760318

Performance models for initial public offerings

Vu, Nancy; Worthington, Andrew Charles; Laird, Phillip - In: Economic and financial modeling of markets, …, (pp. 197-215). 2014

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010437665

Beta

Benson, Karen; Faff, Robert W. - In: Abacus : a journal of accounting, finance and business … 49 (2013), pp. 24-31

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009713221

Asset pricing behaviour with dual-beta in case of Pakistani stock market

Javid, Attiya Y.; Ahmad, Eatzaz - In: The Pakistan development review : PDR 50 (2011) 2, pp. 95-118

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009718137

Unexpected correlations in Fama-MacBeth methodology outcomes

Cavenaile, Laurent; Dubois, David; Hlávka, Jaroslav - In: The IUP journal of financial economics 9 (2011) 1, pp. 7-23

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009297230

A cross-section analysis of financial market integration in North America using a four factor model

Beaulieu, Marie-Claude; Gagnon, Marie-Hélène; Khalaf, … - In: International journal of managerial finance : IJMF 5 (2009) 3, pp. 248-267

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10003935303

Size and value premium in Karachi stock exchange

Mirza, Nawazish; Shahid, Saima - In: The Lahore journal of economics 13 (2008) 2, pp. 1-26

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10003833641

Accruals, capital investments, and stock returns

Wei, K. C. John; Xie, Feixue - In: Financial analysts' journal : FAJ 64 (2008) 5, pp. 34-44

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10003771843

Size and value premium in Karachi Stock Exchange

Mirza, Nawazish - 2008

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10003749784

Yield spreads as alternative risk factors for size and book-to-market

Hahn, Jaehoon; Lee, Hangyong - In: Journal of financial and quantitative analysis : JFQA 41 (2006) 2, pp. 245-270

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10003331867

Asset pricing and the illiquidity premium

Chan, Howard Wei-hong; Faff, Robert W. - In: The financial review : the official publication of the … 40 (2005) 4, pp. 429-458

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10003211775

An investigation into the role of liquidity in asset pricing : Australian evidence

Chan, Howard Wei-hong; Faff, Robert W. - In: Pacific-Basin finance journal 11 (2003) 5, pp. 555-572

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10001806901