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Analysis of the effect of index futures on stock market with a new Fama-French 3-factor model
Bei, Xinyue; Yang, Yanjia; Li, Liuling; Mizrach, Bruce … - In: Theoretical economics letters 4 (2014) 9, pp. 748-759
Persistent link: https://www.econbiz.de/10010531254
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The Impact of SFAS No. 8 on Stock Market Based on a New Fama-French 3-Factor Model : An Empirical Evidence from US Stock Market
Wang, Wen - 2018
In this paper, the impact of the accounting rule (SFAS No.8) on stock market is analyzed with a new model, which is based on the 3-factor model of Fama-French (1993), the EGARCH-type volatility of Nelson (1991) and non-Normal distribution of SSAEPD of Zhu and Zinde-Walsh (2009). Fama-French 25...
Persistent link: https://www.econbiz.de/10012933571