Size and book to market ratio are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that these effects are proxies for factors of risk. In this study, we try to test the three factor model of Fama and French and the Capital Asset Pricing Model on French Stock Market. We use returns on the Fama and French six portfolios sorted by size and book to mark...

The five-factor model by Fama-French was obtained adding the profitability factor (RWM) and investment (CMA) to three-factor Fama-French. It is still first paradigm for asset pricing research imitate compare. In case of Chinese stock market, there no consensus on whether explains anomalies better than other models, a lack comparative studies models specific markets such as SME. Based empirical ...

The CAPM as the benchmark asset pricing model generally performs poorly in both developed and emerging markets. We investigate whether allowing the model parameters to vary improves the performance of the CAPM and the Fama-French model. Conditional asset pricing models scaled by conditional variables such as Trading Volume and Dividend Yield generally result in small pricing errors. However, a ...

The present paper applies a theoretical two-sector three-factor model to analyze a variety of energy tax reforms with the common feature of at least partly exempting the energy-intensive export sector from the tax. As a result, all scenarios with exemptions reduce energy less than the non-discriminating textbook version of the energy tax. Moreover, in the two scenarios that exemplify typical at...

Three studies using exploratory and confirmatory factor analyses provided consistent evidence for a three-factor model of the social dominance orientation (SDO) in Mainland China. Support for exclusionism, which was not found in previous research, emerged as an independent SDO factor (Studies 1, 2, and 3). In Study 2, this factor predicted SDO difference between a high status group (managers) a...

Theorists have suggested that oppressions based on gender and sexual orientation are inherently linked. The present study aims to operationalize and test this proposition, by modeling relationships between sexual harassment and heterosexist harassment. Based on prior research in organizational and feminist psychology, we hypothesized a three-factor model of workplace harassment, comprising sexu...