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CAPM Beta, Size, Book-to-Market, and Momentum in Realized Stock Returns
Novak, Jiri; Petr, Dalibor - In: Czech Journal of Economics and Finance (Finance a uver) 60 (2010) 5, pp. 447-460
), the market value of equity (size), the ratio of the market value of equity to the book value of equity, and short …-term historical stock returns (momentum). We conclude that none of these factors is clearly significant for explaining stock returns …
Persistent link: https://www.econbiz.de/10008800444
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Empirical risk factors in realized stock returns
Novák, Jiří; Petr, Dalibor - 2009
Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the assets or to determine the cost of...
Persistent link: https://www.econbiz.de/10010322253
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Empirical Risk Factors in Realized Stock Returns
Novak, Jiri; Petr, Dalibor - Institut ekonomických studií, Univerzita Karlova v Praze - 2009
Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the assets or to determine the cost of...
Persistent link: https://www.econbiz.de/10008558906
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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 - Fakultät für Wirtschaftswissenschaften, Technische … - 2011
insignifikant (positive) Marktrisikoprämie, eine signifikant negative Größenprämie (Size Premium), eine signifikant positive … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a …
Persistent link: https://www.econbiz.de/10009372405
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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 … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … 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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Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth
Liew, Jimmy; Vassalou, Maria - C.E.P.R. Discussion Papers - 1999
We examine the extent to which the profitability of the HML, SMB, and WML trading strategies can be linked to future GDP growth. Using a large cross-section of securities from ten developed markets, we find that the HML and SMB portfolios contain significant information about future GDP growth....
Persistent link: https://www.econbiz.de/10005791430
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Are Value, Size and Momentum Premiums in CEE Emerging Markets only Illusionary?
Zaremba, Adam; Konieczka, Przemyslaw - In: Czech Journal of Economics and Finance (Finance a uver) 65 (2015) 1, pp. 84-104
of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia … find very high value and size premiums and strong synergy effects between value and momentum strategies. However, the …, only the value premium survives. The size and momentum effects get obliterated. …
Persistent link: https://www.econbiz.de/10011147544
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Combining equity country selection strategies
Zaremba, Adam - In: Contemporary Economics 11 (2017) 1, pp. 107-126
The recent increase in passive investment products has provided investors with easy access to international markets. The basic motivation of this paper is to offer new tools to investors who want to allocate assets across countries. This study investigates the performance of equity country...
Persistent link: https://www.econbiz.de/10011659908
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Combining equity country selection strategies
Zaremba, Adam - In: Contemporary economics 11 (2017) 1, pp. 107-126
The recent increase in passive investment products has provided investors with easy access to international markets. The basic motivation of this paper is to offer new tools to investors who want to allocate assets across countries. This study investigates the performance of equity country...
Persistent link: https://www.econbiz.de/10011632627
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The cross-Section of German stock returns: New data and new evidence
Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010
momentum factor) as well as returns of portfolios which are single- and double-sorted according to market beta, size, book … available to all researchers. It comprises factor returns (a market factor, a size factor, a book-to-market factor, and a …-to-market, and momentum. Second, we use this data set to perform asset pricing tests for the German equity market. Specifically, we …
Persistent link: https://www.econbiz.de/10008684975