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Mimoun Benali, Karima Lahboub and Abdelhamid El Bouhadi
In this study, the reliability of the Fama?French Three-Factor model (FF3F) and the Carhart Four-Factor model (C4F) is examined thoroughly. In order to determine which of the asset pricing models is the best to explain portfolio returns on the Moroccan s...
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Nsama Musawa,Sumbye Kapena,Chanda Shikaputo
AbstractBackground: The Fama and French five-factor model (FF5M) is one of the stock valuation model that is on the cutting edge of finance research. Results from the empirical tests from various stock markets were the FFM5 has been tested since its laun...
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Jürgen Ernstberger,Christian Heinze,Oliver Vogler
AbstractIn the last decade, empirical research has found strong evidence that value stocks provide higher returns than growth stocks (value premium). Firms with a high ratio of book value of equity to market value of equity are regarded as value stocks; ...
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Adam Karp, Gary van Vuuren
This paper tests the validity and accuracy of the Capital Asset Pricing Model and the Fama-French Three-Factor Model, by predicting the variation in excess portfolio returns on the Johannesburg Stock Exchange. Portfolios of stocks were constructed based ...
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Asmâa Alaoui Taib and Safae Benfeddoul
This study empirically tests and compares the performances of three famous financial asset valuation models in the Moroccan stock exchange: CAPM, the Fama and French three-factor model, and the Fama and French five-factor model. Our sample considers mont...
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Songül Kakilli Acaravci,Yunus Karaomer
Pág. 130 - 137
The aim of this study is to test the validity of the Fama-French Five Factor Model (FF5F) in Borsa Istanbul (BIST) during the 132-month period between July 2005 and June 2016. Therefore, the excess returns of 14 different intersection portfolios construc...
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Songul KAKILLI ACARAVCI,Ali ACARAVCI,Yunus KARAOMER
Pág. 187 - 191
The Real Estate Investment Trusts (REITs) have an important role in the development of the real estate sector. For investors, the REITs are financial institution that offer service such as professional portfolio management, risk reduced through diversifi...
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Cheol-Keun Cho and Bosung Jang
This paper explores the implications of consumption heterogeneity between domestic and foreign investors on the cross-section of stock returns in a host country. We argue that foreign investors in a small open economy integrated into global financial mar...
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Verônica de Fátima Santana,Alex Augusto Timm Rathke
Pág. 545 - 572
This research aims to compare the performance of a statistical factor asset pricing model with the Fama-French-Carhart 4-factor model. We perform a Principal Component Analysis (PCA) to extract latent risk factors using data of stocks listed on B3 from 2...
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Prashant Sharma,Prashant Gupta,Anurag Singh
Pág. 1815 - 1826
With the assumption that the returns are normally distributed with no fat tails, most of the existing studies have used ordinary least square (OLS) method to test the pricing ability of asset pricing models. These assumptions are not valid in numerous ca...
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Rafaela Dezidério dos Santos Rocha and Márcio Laurini
The multifactor asset pricing model derived from the Fama?French approach is extensively used in asset risk premium estimation procedures. Even including a considerable number of factors, it is still possible that omitted factors affect the estimation of...
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Nikoletta Poutachidou and Stephanos Papadamou
The purpose of this study is to investigate the fluctuations that occur in stock returns of US stock indices when there is an increase in the volume of Google internet searches for the phrase ?quantitative easing? in the US. The exponential generalized a...
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Caio Almeida,Elaine Fang
Pág. 1 - 37
This paper investigates hedge funds? exposures to various risk factors across different investment strategies through models with both linear and second-order factors. We extend the analysis from an augmented linear model based on Fama & French ...
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Jieting Chen and Yuichiro Kawaguchi
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a per...
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Paulo Rogério Faustino Matos,Wandermon Silva,Felipe Silva
Pág. 325 - 366
In this paper, we would like to contribute to the asset pricing discussion, by proposing a linear model of factors built specifically for the Brazilian stock mutual funds and by using it to analyze the performance of these funds through the methodology p...
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Pablo Solórzano-Taborga, Ana Belén Alonso-Conde and Javier Rojo-Suárez
Recent literature shows that market anomalies have significantly diminished, while research on market factors has largely improved the performance of asset pricing models. In this paper we study the extent to which data envelopment analysis (DEA) techniq...
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Muhammad Zeeshan,Jiabin Han,Alam Rehman,Kashif Saleem,Raza Ullah Shah,Amir Ishaque,Naveed Farooq,Arif Hussain
Pág. 151 - 157
Mutual Funds enable small investors to enjoy the benefits of the capital market instruments with small amount using the expertise of professional managers. This study examines the risk adjusted performance, timing and selection abilities of conventional ...
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N. Mans-Kemp,P. D. Erasmus,S. Viviers
AbstractDespite increased recognition of the importance of sound corporate governance practices in emerging markets, previous researchers reported inconclusive evidence on the association between corporate governance and financial performance. Authors th...
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Tarek BOUCHADDEKH
Après le relatif échec empirique du MEDAF et la remise en question des variables taille et ratio book-to-market dans le modèle de Fama & French (1992), la question de l?évaluation de couple rentabilité-risque est toujours posée. La littérature théorique ...
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Keith Pilbeam and Hamish Preston
This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen?s alpha measures of active management provide strong evidence that Japanese Mutual Funds fai...
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