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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
insignifikant (positive) Marktrisikoprämie, eine signifikant negative Größenprämie (Size Premium), eine signifikant positive … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a …
Persistent link: https://www.econbiz.de/10010307494
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The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns
Atanasov, Victoria; Nitschka, Thomas - 2013
capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform …
Persistent link: https://www.econbiz.de/10010326554
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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.; von Arx, Urs; Schrimpf, Andreas; … - 2011
momentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value risk factors. We then build … novel pan-European and country-specific momentum, size, and value risk factors. By comparing our pan-European market returns …
Persistent link: https://www.econbiz.de/10011753205
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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/10011753224
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Tests of the conditional asset pricing model : further evidence from the cross-section of stock returns
Hyde, Stuart; Sherif, Mohamed - In: International journal of finance & economics : IJFE 15 (2010) 2, pp. 198-211
Persistent link: https://www.econbiz.de/10008702351
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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
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The impact of highter order moments added to the multiscale Carhart model for different investment periods
Trimech, Anyssa - In: International journal of decision sciences, risk and … 5 (2013/14) 3, pp. 263-276
Persistent link: https://www.econbiz.de/10011347007
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The size effect in value and momentum factors : implications for the cross-section of international stock returns
Atanasov, Victoria; Nitschka, Thomas - 2013
capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform …
Persistent link: https://www.econbiz.de/10010224775
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Are value, size and momentum premiums in CEE emerging markets only illusionary?
Zaremba, Adam; Konieczka, Przemysław - In: Finance a úvěr 65 (2015) 1, pp. 84-104
Persistent link: https://www.econbiz.de/10010481111
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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 - This version: 4.1.2011
momentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value risk factors. We then build … novel pan-European and country-specific momentum, size, and value risk factors. By comparing our pan-European market returns …
Persistent link: https://www.econbiz.de/10009236964