Abebe Assefa, Tibebe; A. Esqueda, Omar; C. Galariotis, … - In: Review of Accounting and Finance 13 (2014) 4, pp. 310-325
(CAPM), Fama and French three-factor model and the Carhart’s (1997) momentum portfolio are used to test whether excess … winner portfolios’ alphas are significant, suggesting that the CAPM and the multifactor models are unable to explain return …