This study aims to measure the performance of actively-managed Saudi Arabia mutual funds during COVID-19 outbreak and examines potential impact growth on measured performance. The authors apply Fama French five-factor model risk-adjusted a selected sample 79 funds. Mutual in outperformed market with significant positive alpha 0.15%. panel data regression technique identified new confirmed cases...

Abstract Based on the Fama-French 5-factor model (FF5), this paper analyzes market changes of American steel industry before and after epidemic. In paper, Data from Kennethr French-Data Library were used to make multiple regression analysis U.S. The was also for analysis. According results linear regression, due influence COVID-19, coefficient risk (Betam) decreased; Robust minus Week (RMW) cha...

In this paper, I show that the variance of Fama-French factors, the variance of the momentum factor, as well as the correlation between these factors, predict an important fraction of the timeseries variation in post-1990 aggregate stock market returns. This predictability is particularly strong from one month to one year, and it dominates that afforded by the variance risk premium and other po...

This paper proposes a high dimensional factor multivariate stochastic volatility (SVOL) model in which factor covariance matrices are driven by Wishart random processes. The framework allows for unrestricted specification of intertemporal sensitivities, which can capture the persistence in volatilities, kurtosis in returns, as well as correlation breakdowns and contagion effects in volatilities...

This paper investigates the low risk anomaly, which suggests that less risky stocks outperform riskier ones. Focusing on European stock market, present study examines influence of coskewness, a measure asymmetry in returns with respect to market return. Stocks are sorted into 2x5 quintile portfolios based coskewness and beta volatility. Regression analysis using Fama-French three five factor mo...

This paper describes a production-based asset pricing model. It is analogous to the standard consumption-based model, but it uses producers and production functions in the place of consumers and utility functions. The model ties stock returns to investment returns (marginal rates of transformation) which are inferred from investment data via a production function. The production-based model is ...

In this article, we investigate the notion of doing well while good from perspective passive portfolio strategies. We analyze a number asset allocation strategies based on ESG-weighting and compare their financial ESG performance for US Europe. find no significant difference in but superior ESG-based It can be concluded that, compared to naive strategy, socially responsible investors are willin...

CAPM theory is the core of modern financial theory. As time went on, more and people began to invest in research, many contradictions have emerged, not least highly idealistic assumptions harsh implementation conditions. Different from CAPM, which only has a single factor market risk beta, The inclusion size premium book-to-market ratio this model can effectively explain stock results. By intro...