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Test of capital market integration using Fama-French three-factor model : empirical evidence from India
Sehrawat, Neeraj; Kumar, Amit; Nigam, Narander Kumar; … - In: Investment management and financial innovations 17 (2020) 2, pp. 113-127
Persistent link: https://www.econbiz.de/10012303099
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Open issues in testing liquidity in frontier financial markets : the case of Serbia
Minović, Jelena Z.; Živković, Boško R. - In: Economic annals 55 (2010) 185, pp. 33-62
Persistent link: https://www.econbiz.de/10008857154
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Jump-diffusion long-run risks models, variance risk premium and volatility dynamics
Jin, Jianjian - 2013
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...
Persistent link: https://www.econbiz.de/10009734341
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An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets
Zhou, Haigang; Zhu, John Qi - In: Pacific-Basin finance journal 20 (2012) 5, pp. 857-880
Persistent link: https://www.econbiz.de/10009619749
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Asset pricing in the Indian capital market : a study of positive and negative return periods
Singla, Ravi; Pasricha, J. S. - In: Journal of academic research in economics 4 (2012) 1, pp. 90-101
Persistent link: https://www.econbiz.de/10010247066
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The relationship between covariance and size effects in emerging equity markets
Wang, Ming-Chieh; Ye, Jin-Kui - In: Managerial finance 42 (2016) 3, pp. 174-190
Persistent link: https://www.econbiz.de/10011551925
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Liquidity and asset prices : an empirical investigation of the nordic stock markets
Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705
Persistent link: https://www.econbiz.de/10011408519
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Empirical Testing of the Five-Factor Model of Fama and French in Indonesia as an Emerging Capital Market
Saleh, Mustaruddin - 2020
also conducted to examine CAPM and the three-factor model of Fama and French. The findings of the study revealed that the … market return has a positive and partially significant impact on the stock return for CAPM. Specifically, both variables …
Persistent link: https://www.econbiz.de/10012843789
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Liquidity and the cross-section of international stock returns
Cakici, Nusret; Zaremba, Adam - In: Journal of banking & finance 127 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012820574
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Herding in fast moving consumer group sector : equity market asymmetry and crisis
Bharti, Bharti; Kumar, Ashish - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 9, pp. 39-49
Persistent link: https://www.econbiz.de/10012670774