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Is the CAPM Dead or Alive in the Brazilian Market?
Yoshino, Joe Akira; Santos, Edson Bastos e - In: Review of Applied Economics 5 (2009) 1-2
modified OLS) estimator, this paper corroborates the Fama & French three-factor model (1992, 1993). This work finds also two …
Persistent link: https://www.econbiz.de/10010911560
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The Cross-Section of German Stock Returns: New Data and New Evidence
Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - In: Schmalenbach Business Review (sbr) 64 (2012) 1, pp. 20-43
-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard cAPM, the Fama …
Persistent link: https://www.econbiz.de/10010548163
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The cross-Section of German stock returns: New data and new evidence
Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010
test the standard CAPM, the Fama-French three-factor model, and the Carhart four-factor model. Our tests are based on a …
Persistent link: https://www.econbiz.de/10008684975
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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
significant impact on asset pricing test results. We also show that, in data with wider coverage with respect to size, the Fama …
Persistent link: https://www.econbiz.de/10009415885
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The Smallest Firm Effect: an International Study
De Moor, Lieven; Sercu, Piet - Faculteit Economie en Bedrijfswetenschappen, … - 2011
, this paper identies and documents a post-1980s size effect which is persistent, not picked up by a Fama-French-style SMB …
Persistent link: https://www.econbiz.de/10009415915
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MODELO DE TRES FACTORES EN ESPAÑA
Rubio, Fernando - EconWPA - 2005
El objetivo del estudio es identificar y aplicar el modelo de tres factores desarrollado por Fama y French. Se aplica … tres factores de Fama y French (1993, 1994, 1995 y 1996) es capaz de explicar una gran porción de la varianza (84% en …
Persistent link: https://www.econbiz.de/10005134814
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The smallest firm effect: An international study
De Moor, Lieven; Sercu, Piet - In: Journal of International Money and Finance 32 (2013) C, pp. 129-155
, this paper identifies and documents a post-1980s size effect which is persistent, not picked up by a Fama–French-style SMB …
Persistent link: https://www.econbiz.de/10010594686
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The smallest stocks are not just smaller: global evidence
de Moor, Lieven L.; Sercu, Piet - Solvay Brussels School of Economics and Management, … - 2015
significant impact on asset-pricing test results. We also show that, in data with wider coverage with respect to size, the Fama …
Persistent link: https://www.econbiz.de/10011163399
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Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - Center for Financial Studies - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster...
Persistent link: https://www.econbiz.de/10010986365
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Cash flow and discount rate risk in up and down markets: What is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - Center for Financial Studies - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10010986418