A Comparative Study between the Fama and French Three-Factor Model and the Fama and French Five-Factor Model: Evidence from the Egyptian Stock Market
نویسندگان
چکیده
منابع مشابه
Examination of the Predictive Power of Fama-French Five-Factor Model by the Inclusion of Skewness Coefficient: Evidence of Iranian Stock Market
Due to the complexity of financial markets and specialization of investment, the investors in financial markets need tools, methods and models by which they can choose the best investment and the most appropriate portfolios. Fama-French Five-Factor Model (FFFFM) is one of the newest methods among various methods for financial asset pricing and prediction of stock returns. The main aim of this r...
متن کاملIntertemporal Capital Asset Pricing and the Fama-French Three-Factor Model∗
Characterizing the instantaneous investment opportunity set by the real interest rate and the maximum Sharpe ratio, a simple model of time varying investment opportunities is posited in which these two variables follow correlated Ornstein-Uhlenbeck processes, and the implications for stock and bond valuation are developed. The model suggests that the prices of certain portfolios that are relate...
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ژورنال
عنوان ژورنال: International Journal of Economics and Finance
سال: 2019
ISSN: 1916-9728,1916-971X
DOI: 10.5539/ijef.v12n1p52