Search Results - subject:"multifactor asset pricing"

A six-factor extension of the Fama-French asset pricing model : the case of the Polish stock market

Zsolt Nagy, Bálint; Dezméri, Tünde - In: Argumenta oeconomica 49 (2022) 2, pp. 5-22

Persistent link: https://www.econbiz.de/10014279302

Conditional equity premium and aggregate corporate investment

Guo, Hui; Qiu, Buhui - In: Journal of money, credit and banking : JMCB 55 (2023) 1, pp. 251-295

Persistent link: https://www.econbiz.de/10014305964

Robust inference in the capital asset pricing model using the multivariate t-distribution

Galea, Manuel; Cademártori Rosso, David; Curci, Roberto; … - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-22

Asset Pricing Model (MAPM), is also discussed. A simple algorithm to estimate the model parameters, including the kurtosis … asset pricing models, with an emphasis on the Capital Asset Pricing Model (CAPM). An extension of the CAPM, the Multifactor …

Persistent link: https://www.econbiz.de/10012611352

Robust inference in the capital asset pricing model using the multivariate t-distribution

Galea, Manuel; Cademártori Rosso, David; Curci, Roberto; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/123, pp. 1-22

Persistent link: https://www.econbiz.de/10012309041

Consequences of outlier returns for event studies : a methodological investigation and treatment

Theodossiou, Panayiotis; Theodossiou, Alexandra - In: The international journal of accounting : TIJA 56 (2021) 3, pp. 2150013-1-23

Persistent link: https://www.econbiz.de/10012670646

Asset liquidity, business risk, and beta

Nejadmalayeri, Ali - In: Global finance journal 48 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10012886920

An empirical test of the select multifactor asset pricing models with GMM

Bajpai, Shweta; Sharma, Anil Kumar - In: International journal of business innovation and research 15 (2018) 3, pp. 357-380

Persistent link: https://www.econbiz.de/10011954675

Asymmetric effects of oil price fluctuations in international stock markets

Ramos, Sofía B.; Veiga, Helena - Departamento de Estadistica, Universidad Carlos III de … - 2010

New evidence on the way oil price fluctuations affect international stock markets is provided in analysis of the exposure of 43 stock markets. Oil price spikes depress international stock markets, but oil price drops do not necessarily increase stock market returns. Moreover, the volatility of...

Persistent link: https://www.econbiz.de/10008625890

Industry Concentration and the Cross-section of Stock Returns: Evidence from the UK

Nawar, Hashem - Volkswirtschaftliche Fakultät, … - 2010

London Stock Exchange between 1985 and 2010. Using Multifactor asset pricing theory, I test whether industry concentration is …

Persistent link: https://www.econbiz.de/10008805461

Risk factors in oil and gas industry returns: international evidence

Ramos, Sofía B.; Veiga, Helena - Departamento de Estadistica, Universidad Carlos III de … - 2009

This paper analyzes the exposure of the oil and gas industry of 34 countries to oil prices. Using a multifactor panel model to estimate the oil and gas excess stock returns, our results strongly support the view that oil price is a globally priced factor for the oil industry. In particular, the...

Persistent link: https://www.econbiz.de/10008474166