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This paper provides a quantitative perspective on Gene Fama's influence on the scholarly community. He has more than …,792. Gene Fama has published highly-cited papers in six decades. His most impactful theoretical work took place earlier than his … most impactful empirical work. While Gene Fama's most impactful empirical asset pricing work was published in the Journal …
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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
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
A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas,...
Persistent link: https://www.econbiz.de/10010298288
-Marktwert-Verhältnis, durch ein Dreifaktorenmodell nach Fama French (1993) substantiell besser erklärt werden, als durch ein Einfaktormodell in … by Fama/French (1993) or Carhart (1997) than by the one-factor model based on the standard Capital Asset Pricing Model …
Persistent link: https://www.econbiz.de/10010307494
This paper examines properties of mean-variance inefficient proxies with respect to producing a linear relation between expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient, positively weighted proxies cause an almost perfect...
Persistent link: https://www.econbiz.de/10011390622
Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the assets or to determine the cost of...
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