Search Results - subject:"HML"

Value premium in japanese market : statistical (re)appraisal

Cadamuro, Leonardo; Iwaisako, Tokuo - 2023

Persistent link: https://www.econbiz.de/10014342240

How does the six-factor model do in explaining the relationship between return and risk on the Indonesia stock exchange?

Florensia, Claudia; Susanti, Neneng - 2020

Persistent link: https://www.econbiz.de/10012591823

An empirical testing of Carhart model in Indian stock market

Kumar, Santosh; Tavishi, Tavu - In: Economics & finance notes 9 (2020) 1, pp. 65-100

Persistent link: https://www.econbiz.de/10012805687

When Factors Don't Span Their Basis Portfolios

Grinblatt, Mark - 2019

To price assets with a parsimonious set of factor mimicking portfolios, one typically identifies and weights well-diversified basis portfolios. Traditional weightings lead to factor mimicking portfolios that are unlikely to price even the basis portfolios they are formed from. We offer a method...

Persistent link: https://www.econbiz.de/10012903275

Four-moment CAPM model : evidence from the Indian stock market

Misra, Dheeraj; Vishnani, Sushma; Mehrotra, Ankit - In: Journal of emerging market finance 18 (2019) 1, pp. 137-166

Persistent link: https://www.econbiz.de/10012013190

HML and SMB Premiums in the Recent Scholar Literature – Magnitude and Nature

Buus, Tomáš - In: Český finanční a účetní časopis 2008 (2008) 2, pp. 31-41

This paper deals with the nature and height of HML and SMB premiums from the point of view of recent literature on … the case of HML it is not false causality rather than premium. Even though several authors find narrow relationship … between risk and HML premium, opinions form a wide range and the discussion still goes on. We consider implied cost of capital …

Persistent link: https://www.econbiz.de/10011194719

Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case

Jammazi, Rania; Aloui, Chaker - Institut de Préparation à l'Administration et à la … - 2014

The purpose of this paper is to question the traditional conventional view on the exchange rate targeting that real shocks have

Persistent link: https://www.econbiz.de/10010754753

When factors do not span their basis portfolios

Grinblatt, Mark; Saxena, Konark - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2335-2354

Persistent link: https://www.econbiz.de/10012128025

Estimating the beta-return relationship by considering the sign and the magnitude of daily returns

Ben Sita, Bernard - In: The quarterly review of economics and finance : journal … 67 (2018), pp. 28-35

Persistent link: https://www.econbiz.de/10012034395

Estimating short run and long run coefficients of fundamentals factors with growth and momentum factor : evidence from emerging markets

Shoaib, Adnan; Siddiqui, Muhammad Ayub - In: Australasian accounting business and finance journal : AABF 10 (2016) 4, pp. 17-37

Persistent link: https://www.econbiz.de/10011599205