S ize and book-to-market ratios have emerged as the two prominent variables that are significantly related to stock returns. Fama and French [1992] find that stock returns are negatively related to size and positively related to book-to-market ratios. They also find that the relationship between stock returns and beta is not statistically significant. The Fama and French research caps earlier s...

capital asset pricing, as one of the basic theories in finance and investment area, develop a model for estimation of expected rate of return and equity cost of capital. this model has many applications in the field of finance. one of anomalies in the capital asset pricing model is the value premium that its proponents believe this risk premium is compensation for a risk not mentioned in origin...

As the Internet became widely used, problems associated with its excessive use became increasingly apparent. Although for the assessment of these problems several models and related questionnaires have been elaborated, there has been little effort made to confirm them. The aim of the present study was to test the three-factor model of the previously created Problematic Internet Use Questionnair...

A survey was caTied out of the aquatic fauna of the headwaters of two high-altitude 0170-1355 m) streams draining Mt Doris and two streams draining Mt Pelion East in Tasmania. Although the fauna above the treeline appeared to be characterised primarily by the loss of downstream. fama, three Trichoptera (Notoperata maculata, an unidentified genus from the Kokiriidae, and Plectrotarsus sp.) and o...

The power of mean reversion tests has long been a tacit issue of the market efficiency literature. Early tests of market efficiency, as summarized in Fama Ž . 1970 , found no economically significant evidence of serial correlation in stock Ž . returns. However, Summers 1986 later suggested that this was because these tests lacked power: Summers suggested a model of AfadsB in which stock prices ...

A simple valuation model with time varying investment opportunities is developed and estimated. The model assumes that the investment opportunity set is completely described by the real interest rate and the maximum Sharpe ratio, which follow correlated Ornstein-Uhlenbeck processes. The model parameters and time series of the state variables are estimated using US Treasury bond yields and expec...

Employing a new proxy for liquidity, this paper examines its impact on stock returns in the context of the Fama-French framework. We augment the Carhart four-factor model with a liquidity factor and employ individual and system regression techniques. Using an extensive dataset drawn from the Australian equities market, we find a significant illiquidity premium and evidence that liquidity explai...