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Ammann, Manuel; Steiner, Michael - In: Swiss Journal of Economics and Statistics 144 (2008) 1, pp. 1-35

The four risk factors controlling for the market, size, value and momentum effect have become a state …

Persistent link: https://www.econbiz.de/10011933164

Blitz, David; Hanauer, Matthias X.; van Vliet, Pim - In: Journal of Asset Management 22 (2021) 5, pp. 338-349

This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A-share market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama–French style VOL factor is not explained by the Fama–French–Carhart factors, and has the strongest...

Persistent link: https://www.econbiz.de/10014501953

GDP mimicking portfolios and the cross-section of stock returns

Kroencke, Tim A.; Schindler, Felix; Sebastian, Steffen; … - 2013

-to-market portfolios and do reasonably well in explaining the returns of 10 momentum portfolios. The lagging components do a poor job at … explaining the returns of 25 size and book-to-market portfolios but explain the return of momentum portfolios very well. A three …-factor model in jointly explaining the returns on 25 size/book-to-market portfolios, 10 momentum portfolios and 30 industry …

Persistent link: https://www.econbiz.de/10010312876

Testing conditional factor models : a nonparametric approach

Li, Yan; Yang, Liyan - In: Journal of empirical finance 18 (2011) 5, pp. 972-992

Persistent link: https://www.econbiz.de/10009492521

Determinants of stock returns : factors or systematic co-moments? ; crisis versus non-crisis periods

Hung, Chi-Hsiou D.; Azad, A. S. M. Sohel; Fang, Victor - In: Journal of international financial markets, … 31 (2014), pp. 14-29

Persistent link: https://www.econbiz.de/10011299361

The role of shorting, firm size, and time on market anomalies

Israel, Ronen; Moskowitz, Tobias J. - In: Journal of financial economics 108 (2013) 2, pp. 275-301

Persistent link: https://www.econbiz.de/10009749340

Market proxies as factors in linear asset pricing models : still living with the roll critique

Prono, Todd - In: Journal of empirical finance 31 (2015), pp. 36-53

Persistent link: https://www.econbiz.de/10011489332

Robustness of the Carhart four-factor and the Fama-French three-factor models on the South African stock market

Boamah, Nicholas Addai - In: Review of accounting & finance 14 (2015) 4, pp. 413-430

Persistent link: https://www.econbiz.de/10011507491

The cross-section of Johannesburg Securities Exchange listed equity returns (1994-2011)

Van Heerden, JD; Van Rensburg, Paul - In: Studies in economics and finance 32 (2015) 4, pp. 422-444

Persistent link: https://www.econbiz.de/10011492237

Has the pricing of stocks become more global?

Petzev, Ivan; Schrimpf, Andreas; Wagner, Alexander F. - 2015

We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R2) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the...

Persistent link: https://www.econbiz.de/10011412487