DO THE FAMA AND FRENCH FIVE-FACTOR MODEL FORECAST WELL USING ANN?
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...
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In a widely cited article, DiMasi, Hansen, and Grabowski (2003) estimate the average pre-tax cost of bringing a new molecular entity to market. Their base case estimate, excluding post-marketing studies, was $802 million (in $US 2000). Strikingly, almost half of this cost (or $399 million) is the cost of capital (COC) used to fund clinical development expenses to the point of FDA marketing appr...
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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: Journal of Business Economics and Management
سال: 2019
ISSN: 1611-1699,2029-4433
DOI: 10.3846/jbem.2019.8250