Zaghouani Chakroun, Amal; Mezzez Hmaied, Dorra - In: Managerial Finance 46 (2019) 1, pp. 72-91
Purpose: The purpose of this paper is to examine alternative six- and seven-factor equity pricing models directed at capturing a new factor, aggregate volatility, in addition to market, size, book to market, profitability, investment premiums of the Fama and French (2015) and Fama and...