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Validating intra-day risk premium in cross-sectional return curves
Zhao, Yuqian - In: Finance research letters 43 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10014633505
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Size and value premium in Karachi stock exchange
Mirza, Nawazish; Shahid, Saima - In: The Lahore journal of economics 13 (2008) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10003833641
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Size, value, and momentum in emerging market stock returns
Cakici, Nusret; Fabozzi, Frank J.; Tan, Sinan - In: Emerging markets review 16 (2013), pp. 46-65
Persistent link: https://www.econbiz.de/10010243168
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An alternative three-factor model for international markets : evidence from the European Monetary Union
Ammann, Manuel; Odoni, Sandro; Oesch, David - 2012 - This version: 1 February 2012
Persistent link: https://www.econbiz.de/10009564267
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Size and value premium in Karachi Stock Exchange
Mirza, Nawazish - 2008
Persistent link: https://www.econbiz.de/10003749784
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Value premium and implied equity duration in the Japanese stock market
Fukuta, Yuichi; Yamane, Akiko - In: Journal of international financial markets, … 39 (2015), pp. 102-121
Persistent link: https://www.econbiz.de/10011475648
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Pricing the hedging factor in the cross-section of stock returns
Dunbar, Kwamie - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012821473
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Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?
Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31
(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …
Persistent link: https://www.econbiz.de/10012872607
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The predictive power of multi-factor asset pricing models : evidence from Pakistani banks
Salim, Muhammad; Hashmi, Muhammad Arsalan; Abdullah, A. - In: Journal of Asian finance, economics and business : JAFEB 8 (2021) 11, pp. 1-10
Persistent link: https://www.econbiz.de/10012670978
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Size, value, and momentum in Polish equity returns : local or international factors?
Zaremba, Adam; Konieczka, Przemysław - In: International journal of management and economics 53 (2017) 3, pp. 26-47
This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart … models. The CAPM is rejected and the three-factor and four-factor models perform well for the size and B/M sorted portfolios …
Persistent link: https://www.econbiz.de/10012026674