A TEST OF THE FAMA-FRENCH FIVE FACTOR MODEL IN COMPARISON TO THE CAPITAL ASSET PRICING MODEL AT THE LUSAKA SECURITIES EXCHANGE
نویسندگان
چکیده
منابع مشابه
Intertemporal 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...
متن کاملThe Capital Asset Pricing Model and the Three Factor Model of Fama and French Revisited in the Case of France
Size and book to market ratio are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that these effects are proxies for factors of risk. In this study, we try to test the three factor model of Fama and French and the Capital Asset Pricing Model on French Stock Market. We use returns on the Fama and French six portfolios sorted by size and book to mark...
متن کاملThe Expansion of Capital Asset Pricing Factor Models through Pricing Value ، Momentum and stock quality at Tehran stock exchange
Considering the inverse relationship between the value and momentum factors and the lack of simultaneous use of them in capital asset pricing models as well as non-use of stock quality as representative of profitability ans investment factors such as CAPM and Fama and French's three-factor models, the basis of this study is to provide a new functional model has been replacing pricing models o...
متن کاملthe use of appropriate madm model for ranking the vendors of mci equipments using fuzzy approach
abstract nowadays, the science of decision making has been paid to more attention due to the complexity of the problems of suppliers selection. as known, one of the efficient tools in economic and human resources development is the extension of communication networks in developing countries. so, the proper selection of suppliers of tc equipments is of concern very much. in this study, a ...
15 صفحه اولذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Finance and Accounting
سال: 2018
ISSN: 2518-4113
DOI: 10.47604/ijfa.684