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On the construction of common size, value and momentum factors in international stock markets : a guide with applications

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011

A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...

Persistent link: https://www.econbiz.de/10008798062

Common risk factors and the macroeconomy : new evidence from the Japanese stock market

Bretschger, Lucas; Lechthaler, Filippo - 2012

Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an adequate approach for the Japanese market. The Carhart...

Persistent link: https://www.econbiz.de/10009552906

On the construction of common size, value and momentum factors in international stock markets : a guide with applications

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011 - This version: 4.1.2011

Demand is growing for a better understanding of how assets are priced in countries outside of the U.S. While financial data are available for many firms world-wide, it is important to have a reliable and replicable method of constructing high-quality systematic risk factors from these data. This...

Persistent link: https://www.econbiz.de/10009236964

Common Risk Factors and the Macroeconomy : New Evidence from the Japanese Stock Market

Bretschger, Lucas - 2012

Persistent link: https://www.econbiz.de/10013107429

A Proposed Model for Stock Price Prediction Based on Financial News

Selimi, Mubarek - 2019

In this paper we will propose a model and needed steps that one should undertake in order to try and predict potential stock price fluctuation solely based on financial news from relevant sources. The paper will start with providing background information on the problem and text mining in...

Persistent link: https://www.econbiz.de/10012859086

Size, Value, Profitability, and Investment Effects in International Stock Returns : Are They Really There?

Cakici, Nusret; Zaremba, Adam - 2021

Using data on 65,000 stocks from 23 countries, the authors re-evaluate the performance of the Fama-French (2015) factors in global markets. The results provide convincing evidence that the value, profitability, and investment factors are far less reliable than commonly thought. Their performance...

Persistent link: https://www.econbiz.de/10013226512

A proposed model for stock price prediction based on financial news

Selimi, Mubarek; Besimi, Adrian - In: Proceedings of the ENTRENOVA - ENTerprise REsearch … 5 (2019) 1, pp. 100-107

Persistent link: https://www.econbiz.de/10012227597

Four and Five-Factor Models in the Indian Equities Market

Raju, Rajan - 2022

We compute the Fama-French three- and five-factor and momentum factor returns for Indian equities between October 2006 and February 2022 using data from Refinitiv Datastream following two breakpoint schemes. We show a high correlation between our factor return estimates and those reported in the...

Persistent link: https://www.econbiz.de/10013296282

Alpha

Faff, Robert W. - In: Journal of accounting & management information systems … 13 (2014) 4, pp. 607-622

α (“Alpha”) has symbolic importance on the investments side of finance. That is, a fundamental pillar of modern finance … theory is the risk-return relation, and traditionally alpha is taken to represent the degree of “mispricing” in asset returns …. But, such an interpretation is not always appropriate – seemingly paradoxically, for certain specific setups alpha …

Persistent link: https://www.econbiz.de/10011310016

Text-Based Industry Momentum

Hoberg, Gerard - 2017

We test the hypothesis that low visibility shocks to text-based network industry peers can explain industry momentum. We consider industry peer firms identified through 10-K product text and focus on economic peer links that do not share common SIC codes. Shocks to less visible peers generate...

Persistent link: https://www.econbiz.de/10012972674