Hou and Moskowitz (2005) document that common stocks with more price delay in reflecting information yield higher returns and that the delay premium cannot be explained by the CAPM, Fama-French three-factor model, or Carhart’s four-factor model. It cannot be explained by conventional liquidity measures either. They contend that the premium is attributable to inadequate risk sharing arising from...

Applying modern investment theories to construct portfolios is a crucial way for investors reduce risks and obtain high returns in the market. This paper selects eight stocks from industries of US stock market constructs portfolio based on their historical return data over past five years. study uses CAPM model Fama French three-factor estimate expected these stocks, then applies mean-variance ...

The purpose of this study was to contribute to the construct validity of the scores from Rose’s (2003) 34-item Ideal Mentor Scale (IMS) and to examine whether male and female doctoral students value different attributes in their ideal mentor. Two hundred and twenty-four doctoral students from colleges (Education, Public Health, Nursing, Arts and Sciences, Engineering, and Business) throughout a...

Interpersonal curiosity (IPC) is the desire for new information about people. Fifty-one IPC items were administered to 321 participants (248 women, 73 men), along with other measures of curiosity and personality. Three factors were identified from which five-item subscales were developed that had good internal consistency: Curiosity about Emotions, Spying and Prying, and Snooping. Confirmatory ...

The Computer Anxiety Rating Scale and the Computer Thoughts Survey were administered to 661 students enrolled on undergraduate programmes in five different universities. A covariance matrix and an asymptotic weight matrix for each scale were computed from the sample data using PRELIS2. Two factor models were specified and estimated by maximum likelihood using LISREL8. The results revealed that ...

The purpose of this study is to get an insight into the investment performance U.S. small-size value mutual funds. Fama-French five-factor model was used perform regression portfolio returns composed out funds with chosen theme, as well at individual level for 64 analyzed funds, against model's factors. covers period from January 2010 until November 2021, using monthly returns. Our findings sug...

Article history: Received 18 November 2010 Accepted 12 September 2011 Available online 17 September 2011 This paper evaluates and compares asset pricing models in the Korean stock market. The asset pricing models considered are the CAPM, APT-motivated models, the Consumption-based CAPM, Intertemporal CAPM-motivated models, and the Jagannathan and Wang conditional CAPM model. By using various te...

In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, investigate value redundancy and examine choice profitability factor. Our empirical evidence shows that FF five-factor model has more explanatory power than three-factor model. The remains important after inclusion investment factors. Operating performs better cash return-on-equity (ROE) as a proxy ...