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Value premium and implied equity duration in the Japanese stock market

Fukuta, Yuichi; Yamane, Akiko - In: Journal of international financial markets, … 39 (2015), pp. 102-121

Persistent link: https://www.econbiz.de/10011475648

Pricing the hedging factor in the cross-section of stock returns

Dunbar, Kwamie - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012821473

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …

Persistent link: https://www.econbiz.de/10012872607

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

A closer look at industry-associated value premium : evidence from India

Sharma, Bhumiswor; Srikanth, P.; Mathew, Mareena - In: Global business & economics review 27 (2022) 3, pp. 352-392

Persistent link: https://www.econbiz.de/10013453834

Pricing within and across asset classes

Dobrynskaja, V. V. - In: Finance research letters 25 (2018), pp. 10-15

Persistent link: https://www.econbiz.de/10012003407

Unexpected correlations in Fama-MacBeth methodology outcomes

Cavenaile, Laurent; Dubois, David; Hlávka, Jaroslav - In: The IUP journal of financial economics 9 (2011) 1, pp. 7-23

Persistent link: https://www.econbiz.de/10009297230

Financial risk and better returns through smart beta exchange-traded funds?

Bowes, Jordan; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-30

Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to their supposed ability to offer a better risk-return trade-off than traditionally structured passive indices. Yet, research covering the performance of SB ETFs benchmarked to traditional cap-weighted market...

Persistent link: https://www.econbiz.de/10012622400

Firm characteristics and empirical factor models : a data-mining experiment

Kogan, Leonid; Tian, Mary - 2012

Persistent link: https://www.econbiz.de/10009698084

Asset selection using factor model and data envelope analysis : a quantile regression approach

Singh, Abhay Kumar; Allen, David E. - 2010

Persistent link: https://www.econbiz.de/10008760318

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