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The number of securities giving the maximum return in the presence of transaction costs
Lajili-Jarjir, Souad; Rakotondratsimba, Yves - In: Quality & Quantity: International Journal of Methodology 42 (2008) 5, pp. 613-644
Persistent link: https://www.econbiz.de/10009396173
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Explaining the Cross-section of Stock Returns in France: Characteristics or Risk Factors?
Lajili-Jarjir, Souad - In: The European journal of finance 13 (2007) 1-2, pp. 145-158
Persistent link: https://www.econbiz.de/10007612818
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Explaining the Cross-section of Stock Returns in France: Characteristics or Risk Factors?
Lajili-Jarjir, Souad - In: The European Journal of Finance 13 (2007) 2, pp. 145-158
In this study, the three-factor model of Fama and French and the 'characteristic model' of Daniel and Titman are tested using the French Stock Market. Stocks are ranked by size and book to market ratio and then by ex-ante β, HML or SMB loadings. Based on average returns, results reject the...
Persistent link: https://www.econbiz.de/10005471881