We examine the robustness of the Fama-French three-factor model in several bear and bull market periods. Data on bull and bear market periods are from the website of Global Financial Data. The data on the monthly returns of the 25 Fama French portfolios and the explanatory variablesmR, SMB, and...

This study investigates the implications of recognizing skewness preference in the computation of abnormal returns. Replicating the Fama, Fisher, Jensen and Roll study on stock split on a recent data set with a few distinct event study techniques, this study finds that recognition of skewness...