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

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

What drives the size and value factors?

Li, Jiacui - 2022

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

Local, regional, or global asset pricing?

Hollstein, Fabian - 2022

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

Examining the underexamined : mid-cap stock returns

Kaprielyan, Magarita; Jansen, Benjamin - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014536072

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

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

A return based measure of firm quality

Jagannathan, Ravi; Zhang, Yang - 2020

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

Intangible value

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

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

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

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

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

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

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

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

Factor investing : from theory to practice

Gupta, Tarun; Raol, Jay; Roscovan, Viorel - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014233100

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

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

The value premium

Fama, Eugene F.; French, Kenneth Ronald - 2021

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

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

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

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

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

Kaserer, Christoph; Hanauer, Matthias - 2017

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 - 2014

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

Benson, Karen; Faff, Robert W. - 2013

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 - 2011

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

Unexpected correlations in Fama-MacBeth methodology outcomes

Cavenaile, Laurent; Dubois, David; Hlávka, Jaroslav - 2011

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, … - 2009

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

Size and value premium in Karachi stock exchange

Mirza, Nawazish; Shahid, Saima - 2008

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

Size and value premium in Karachi Stock Exchange

Mirza, Nawazish - 2008

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

Accruals, capital investments, and stock returns

Wei, K. C. John; Xie, Feixue - 2008

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

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

Hahn, Jaehoon; Lee, Hangyong - 2006

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

Asset pricing and the illiquidity premium

Chan, Howard Wei-hong; Faff, Robert W. - 2005

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. - 2003

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

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