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Size, value, and momentum in Polish equity returns : local or international factors?
Zaremba, Adam; Konieczka, Przemysław - In: International journal of management and economics 53 (2017) 3, pp. 26-47
This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart … models. The CAPM is rejected and the three-factor and four-factor models perform well for the size and B/M sorted portfolios …
Persistent link: https://www.econbiz.de/10012026674
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Asset pricing and downside risk in the Australian share market
Alles, Lakshman; Murray, Louis - In: Applied economics 49 (2017) 43, pp. 4336-4350
Persistent link: https://www.econbiz.de/10011843179
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Anomalies, risk adjustment and seasonality : Australian evidence
Zhong, Angel; Limkriangkrai, Manapon; Gray, Philip K. - In: International review of financial analysis 35 (2014), pp. 207-218
Persistent link: https://www.econbiz.de/10010530242
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Unlocking the secrets of fundamental indexes : size effect or value effect? ; evidence from emerging stock markets
Hsieh, Heng-hsing - In: Investment management and financial innovations 10 (2013) 4, pp. 48-64
Persistent link: https://www.econbiz.de/10010258446
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The cross-section of stock returns in frontier emerging markets
Groot, Wilma de; Pang, Juan; Swinkels, Laurens - In: Journal of empirical finance 19 (2012) 5, pp. 796-818
Persistent link: https://www.econbiz.de/10009700587
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Stock weighting and nontrading bias in estimated portfolio returns
Gray, Philip K. - In: Accounting and finance : journal of the Accounting … 54 (2014) 2, pp. 467-503
Persistent link: https://www.econbiz.de/10010373402
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Markowitz efficiency and size effect : evidence from the UK stock market
Hwang, Tienyu; Gao, Simon S.; Owen, Heather - In: Review of quantitative finance and accounting 43 (2014) 4, pp. 721-750
Persistent link: https://www.econbiz.de/10010490996
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Does Momentum Profit Exist in Australia - A Systematic Analysis of Price and Alpha Momentum Strategies
Deng, Yijie - 2022
This paper examines the momentum strategy in Australia under the debate on whether momentum strategy is profitable in … Australia. It studies both the price and alpha momentum strategy performance under several lookback periods, and applies short …
Persistent link: https://www.econbiz.de/10013492318
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Zero-investment portfolio strategy and excess returns in ESG100 stocks
Parichat Sinlapates; Thawaree Chinnasaeng - In: Comparative analysis of trade and finance in emerging …, (pp. 51-66). 2023
Persistent link: https://www.econbiz.de/10014316845
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Style-investing auf europäischen Aktienmärkten : eine empirische Analyse bewertungsrelevanter Fundamentalfaktoren
Paulus, Helmut - 1997
Persistent link: https://www.econbiz.de/10013438293