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What do the Fama-French factors add to C-CAPM?
Pongrapeeporn Abhakorn; Smith, Peter N.; Wickens, Michael R. - In: Journal of empirical finance 22 (2013), pp. 113-127
Persistent link: https://www.econbiz.de/10009768417
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What do the Fama-French Factors add to C-CAPM?
Pongrapeeporn Abhakorn; Smith, Peter N.; Wickens, Michael R. - 2013 - Revised March 2013
This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) the Fama-French factors. CCAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the SMB...
Persistent link: https://www.econbiz.de/10009731215
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Can stochastic discount factor models explain the cross-section of equity returns?
Pongrapeeporn Abhakorn; Smith, Peter N.; Wickens, Michael R. - In: Review of financial economics : RFE 28 (2016), pp. 56-68
Persistent link: https://www.econbiz.de/10011579683
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Consumption, size and book-to-market ratio in equity returns
Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, … - 2011
Persistent link: https://www.econbiz.de/10009381289
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A cross section of equity returns : the no-arbitrage test
Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, … - 2011
Persistent link: https://www.econbiz.de/10009381294
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The equity premium and the business cycle : the role of demand and supply shocks
Smith, Peter N.; Sorensen, Steffen; Wickens, Michael R. - In: International journal of finance & economics : IJFE 15 (2010) 2, pp. 134-152
Persistent link: https://www.econbiz.de/10008702360
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Assessing the effects of monetary shocks on exchange rate variability with a stylised econometric model of the UK
Smith, Peter N. - In: Greek economic review 11 (1989) 1, pp. 76-94
Persistent link: https://www.econbiz.de/10001097879
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Asset pricing with observable stochastic discount factors
Smith, Peter N.; Wickens, Michael R. - In: Contributions to financial econometrics : theoretical …, (pp. 161-210). 2003
Persistent link: https://www.econbiz.de/10001932664
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Asset pricing with observable stochastic discount factors
Smith, Peter N. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001653785
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Asset pricing with observable stochastic discount factors
Smith, Peter; Wickens, Michael R. - In: Journal of economic surveys 16 (2002) 3, pp. 397-446
Persistent link: https://www.econbiz.de/10001686269