نتایج جستجو برای: fama french five factor model
تعداد نتایج: 3170742 فیلتر نتایج به سال:
to achieve the optimal model for capital asset pricing has always been a central issue in studies of the financial field. in this study we consider fama and french three-factor model augmented by the pastor and stambaugh (2003) liquidity risk factor. unlike most previous studies in this model, stock level beta is allowed to vary with firm-level size and book-to-market value. to verify the above...
The Children’s Perception of Interparental Conflict Scale (CPIC) is based on the cognitive-contextual framework for understanding interparental conflict. This study investigates the factor validity and the invariance of two factor models of CPIC within a sample of Portuguese adolescents and emerging adults (14 to 25 years old; N = 677). At the subscale level, invariance analyses (configural and...
The Biggs’ Study Process Questionnaire (SPQ) was used to test competing models of students’ approaches to learning in a sample of undergraduate students (n = 125) from an inquiry based Bachelor of Health Sciences program. In addition to an internal consistency and test-retest reliability analysis of the SPQ, confi rmatory factor analysis was used to evaluate the goodness-of-fi t of two competin...
Indecisiveness is the inability to make decisions in a timely manner across situations and domains. The present research explores the construct of indecisiveness across sex and culture, given the past suggestion of group differences in mean scores (Ji, Oka, & Yates, 2000; Rassin & Muris, 2005a). Frost and Shows’ (1993) Indecisiveness Scale was administered to undergraduates in the United States...
When utility is nonseparable in nondurable and durable consumption and the elasticity of substitution between the two consumption goods is sufficiently high, marginal utility rises when durable consumption falls. The model explains both the crosssectional variation in expected stock returns and the time variation in the equity premium. Small stocks and value stocks deliver relatively low return...
The purpose of this paper is to show that the problem of trust relates to all three levels of financial engagement by a retail investor. (1) Engagement with the adviser who advises on financial products. (2) Engagement with the financial institutions that produce the financial products. (3) Engagement with the stock markets in which the financial products are invested. It is proposed that these...
This paper adopts the methodology used by Fama and French (1993) to construct two measures of liquidity risk. These liquidity proxies solve the empirical issue of comparability between risk factors by utilizing the standardized unit of risk first proposed for size and value effects. As far as I know, this has not been done before. Modeling these additional liquidity premiums indicate an improve...
Characterizing the instantaneous investment opportunity set by the real interest rate and the maximum Sharpe ratio, a simple model of time varying investment opportunities is posited in which these two variables follow correlated Ornstein-Uhlenbeck processes, and the implications for stock and bond valuation are developed. The model suggests that the prices of certain portfolios that are relate...
Impact of COVID-19 and Vaccine on Agric, Soda, Smoke Industry Based on Fama-French Five-Factor Model
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