The Fama and French Five Factor Model: Evidence from an Emerging 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 کاملDeveloping revised Fama-French Five-Factor models by including dividend rate, cash holdings, and Free cash flow to equity: evidence of Tehran stock exchange
Prediction of stock returns has always been one of the most important issues in finance. Investors have attracted to use of Fama-French Five-Factor Model (FFFFM) as one of the powerful methods for pricing financial assets and predicting the stock returns. This research investigates the predictability of stock returns by including some important firms features namely cash holdings, dividend rate...
متن کاملThe Influence of Agency Costs on Dividend Policy in an Emerging Market: Evidence from the Tehran Stock Exchange
Dividend policy has long been an issue of interest in the financial literature. To date, a number of studies published on agency costs and dividend policy but most of them are on developed markets, It is well known that the emerging markets are quite different from developed markets in all respects. So, the existing published evidence is of limited relevance in identifying the influence of agen...
متن کاملThe Application in the Portfolio of China's A-share Market with Fama-French Five-Factor Model and the Robust Median Covariance Matrix
In the traditional portfolio model, investors calculate the expected return of assets and the covariance matrix for optimal asset allocation. This paper divides market sentiment period into three states and selectes the securities in the Chinese stock market to construct portfolios. We implement both the Fama-French five-factor model and the robust median covariance matrix approach for predicti...
متن کاملذخیره 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: المجلة العربیة للإدارة
سال: 2018
ISSN: 2663-4473
DOI: 10.21608/aja.2018.74222