Parichat Sinlapates; Surachai Chancharat - In: Risks : open access journal 10 (2022) 12, pp. 1-12
profits, (b) the five-factor model outperforms their 1993 three-factor model in explaining contrarian profits, and (c) risk … smaller than the one from the five-factor model. Thus, the three-factor model is applied to estimate the risk-adjusted return …. Zero contrarian profits after risk adjustment confirms that they are risk-driven. …