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A five-factor asset pricing mo...
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1
A five-factor asset pricing model
Fama, Eugene F.
;
French, Kenneth Ronald
- In:
Journal of financial economics
116
(
2015
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011347324
Saved in:
2
The use of asset growth in empirical asset pricing models
Cooper, Michael J.
;
Gulen, Huseyin
;
Ion, Mihai
- In:
Journal of financial economics
151
(
2024
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014452109
Saved in:
3
Arbitrage pricing theory
Huberman, Gur
-
2005
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors. The APT,...
Persistent link: https://www.econbiz.de/10010283426
Saved in:
4
Best of the Best : A Comparison of Factor Models
Ahmed, Shamim
-
2018
We compare major factor models and find that the Stambaugh and Yuan (2016) four-factor model is the overall winner in the time-series domain. The Hou, Xue, and Zhang (2015) q-factor model takes second place and the Fama and French (2015) five-factor model and the Barillas and Shanken (2018)...
Persistent link: https://www.econbiz.de/10012920603
Saved in:
5
Mispricing and the five-factor model
Walkshäusl, Christian
- In:
Economics letters
147
(
2016
),
pp. 99-102
Persistent link: https://www.econbiz.de/10011619533
Saved in:
6
Common risk factors of infrastructure firms
Ben Ammar, Semir
;
Eling, Martin
-
2013
-
This version: 05/07/2013
, size, value, momentum, cashflow volatility, leverage,
investment
growth, term risk, and default risk. We empirically test …
Persistent link: https://www.econbiz.de/10010410032
Saved in:
7
Expected
profitability
and the cross-section of stock returns
Lin, Qi
;
Lin, Xi
- In:
Economics letters
183
(
2019
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012122451
Saved in:
8
Asset prices and macroeconomic outcomes : a survey
Claessens, Stijn
;
Kose, M. Ayhan
-
2017
This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...
Persistent link: https://www.econbiz.de/10011761064
Saved in:
9
Clustering-based sector investing
Bagnara, Matteo
;
Goodarzi, Milad
-
2023
investment
set compared to standard classification schemes for portfolio optimization and for trading strategies based on within …
Persistent link: https://www.econbiz.de/10014318392
Saved in:
10
Accounting for macro-finance trends: Market power, intangibles, and risk premia
Farhi, Emmanuel
;
Gourio, François
-
2018
) stock market valuation ratios have increased only moderately; (3)
investment
has been lackluster. We use a simple extension …
Persistent link: https://www.econbiz.de/10012030362
Saved in:
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