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The five-factor asset pricing model tests and profitability and investment premiums : evidence from Pakistan

Ali, Fahad; Khurram, Muhammad Usman; Jiang, Yuexiang - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 9, pp. 2651-2673

Persistent link: https://www.econbiz.de/10012549937

R&D, risks and overreaction in a market with the absence of the book-to-market effect

Hung, Weifeng; Chiao, Chaoshin; Liao, Tung Liang; … - In: International review of economics & finance : IREF 22 (2012) 1, pp. 11-24

Persistent link: https://www.econbiz.de/10009618715

Value uncertainty

Bali, Turan G.; Del Viva, Luca; El Hefnawy, Menatalla; … - In: Management science : journal of the Institute for … 70 (2024) 7, pp. 4548-4563

Persistent link: https://www.econbiz.de/10015046305

A trend factor : Any economic gains from using information over investment horizons?

Han, Yufeng; Zhou, Guofu; Zhu, Yingzi - In: Journal of financial economics 122 (2016) 2, pp. 352-375

Persistent link: https://www.econbiz.de/10011590910

Fama and French three and six-factor models : evidence from Indian stock exchange

Tejesh H. R.; Jeelan Basha, V. - In: International journal of financial engineering 10 (2023) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10014444494

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

Are the profitability and investment factors valid ICAPM risk factors? : pre-1963 evidence

Lin, Qi; Lin, Xi - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10013186489

Investment based on size, value, momentum and income measures : a study in the Taiwan stock market

Lu, Richard; Wang, Jai-Jen; Wong, Wing Keung - In: Annals of financial economics 17 (2022) 4, pp. 1-33

Persistent link: https://www.econbiz.de/10014234486

Modified beta and cross-sectional stock returns

Dennis, Steven A.; Simlai, Prodosh; Smith, William Steven - In: Research in finance 33 (2018), pp. 75-104

Persistent link: https://www.econbiz.de/10012227938

The size effect in value and momentum factors : implications for the cross-section of international stock returns

Atanasov, Victoria; Nitschka, Thomas - 2013

basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …

Persistent link: https://www.econbiz.de/10010224775