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The Fama French Model or the Capital Asset Pricing Model: International Evidence
Alves, Paulo - In: The International Journal of Business and Finance Research 7 (2013) 2, pp. 79-89
This research paper attempts to evaluate the benefits of using the Fama and French Model by comparing them with those resulting from the use of the Capital Asset Pricing Model. Local, International, and European Monetary Union functional forms were considered, in an attempt to raise the...
Persistent link: https://www.econbiz.de/10010938516
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Centre Rules the Markets
Alves, Paulo; Ferreira, Miguel - Volkswirtschaftliche Fakultät, … - 2008
In this paper we evaluate the impact of the European Monetary Union based on the Fama and French three-factor model. Our research shows that the models based on EMU factors present worse explanatory power than models based on local and international factors, although international factors do not...
Persistent link: https://www.econbiz.de/10011109448
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Tests of Equity Market Anomalies for Select Emerging Markets
Sehgal, Sanjay; Subramaniam, Srividya; Deisting, Florent - In: The International Journal of Business and Finance Research 8 (2014) 3, pp. 27-46
compared to CAPM and FFM only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for … Korea and South Africa. We find that using the Fama French model (FFM) as performance benchmark the size anomaly is present … challenge to asset pricing for sample markets. The four factor liquidity augmented FFM is a better descriptor of asset pricing …
Persistent link: https://www.econbiz.de/10010960338
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Size and liquidity effects in Nigeria: an industrial sector study
Hearn, Bruce - In: Journal of Developing Areas 48 (2014) 3, pp. 1-30
asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …
Persistent link: https://www.econbiz.de/10011213044
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Testing Multi-Factor Asset Pricing Models in the Visegrad Countries
Borys, Magdalena Morgese - Center for Economic Research and Graduate Education and … - 2007
capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and the … countries. We find, as expected, that the CAPM is not able to do this task. However, a four-factor model, including factors such …
Persistent link: https://www.econbiz.de/10005086627
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - Fakultät für Wirtschaftswissenschaften, Technische … - 2011
Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...
Persistent link: https://www.econbiz.de/10009372405
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The smallest stocks are not just smaller: US and international evidence
De Moor, Lieven; Sercu, Piet - Faculteit Economie en Bedrijfswetenschappen, … - 2011
Using an international Thomson Reuters Datastream database where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset pricing test results. We also...
Persistent link: https://www.econbiz.de/10009415885
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The small firm anomaly: US and international evidence
De Moor, Lieven; Sercu, Piet - Faculteit Economie en Bedrijfswetenschappen, … - 2007
Using an international Thompson Datastream database and standard asset pricing models we encounter pricing errors for the ten percent smallest stocks. We generalize the standard 4-factor model by adding two additional risk factors (one size- and one book-tomarket factor). This generalized...
Persistent link: https://www.econbiz.de/10009415932
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On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom
Malin, Mirela; Veeraraghavan, Madhu - In: International Journal of Business and Economics 3 (2004) 2, pp. 155-176
In this paper we investigate the robustness of the Fama-French multifactor model for equities listed in three European markets. We find evidence of a small firm effect in France and Germany and a big firm effect in the United Kingdom. Also, we do not find any evidence of a value effect for the...
Persistent link: https://www.econbiz.de/10010837294
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An Analysis of Hedge Fund Performance
Capocci, Daniel - EconWPA - 2002
Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama & French (1998) Agarwal & Naik (2000) models and...
Persistent link: https://www.econbiz.de/10005134782