نتایج جستجو برای: fama french five factor model
تعداد نتایج: 3170742 فیلتر نتایج به سال:
The main objective of this paper is to discuss alternative methods for testing the Fama-French (FF) three-factor asset pricing model. The properties of the selected methods are compared through a simulation study. The main stress is put on the behaviour of the selected methods for small samples. The parameters used in the simulation study are obtained on the basis of real data coming from the P...
for assessment of portfolio performance, it's crucial to adjust the return by the risk which is taken. so it seems undeniable that for measuring the risk-adjusted return of portfolio, we need an appropriate and developed model for risk and asset pricing. fama & french 3 factor model could explain several return anomalies. recent studies show that capital productivity effects on stock retur...
A commonly used approach in long-run event-studies is the calendar time portfolio (CTP) approach developed by Jaffe (1974) and Mandelker (1974) and advocated by Fama (1998). For each calendar month we compute the return of an equally-weighted portfolio of companies that unionized in the last T months, where T is either 18 or 24 in our study. The return of this “unionization portfolio” is denote...
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...
Analogy is an important cognitive process that has been researched extensively. Functional accounts of it typically involve at least four stages of processing (access, mapping, transfer, and evaluation, e.g., see Kokinov & French, 2002), however, they take the way in which the base analog is understood, along with its relational structure, for granted. The goal of this paper is to open a discus...
In this study, the validity of five-factor model in developing and underdeveloped countries was investigated 2012-2020, as well to be created by using inflation rate instead risk-free interest rate, answers questions its comparison with original model. seeking an answer question, Pakistan, Malaysia, Indonesia Turkey were selected interest-sensitive investors. Kuala Lumpur Composite Index (KLCI)...
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