In this paper, we develop and test asset pricing model formulations that are simultaneously conditional and nonlinear. Formulations based upon five popular asset pricing models are tested against the widely studied Fama and French (1993) twenty-five size and book-tomarket sorted portfolios. Test results indicate that the conditional nonlinear specification of the Fama and French (1993) three st...

The duo of Fama and French is most famous for their 1992 and 1993 papers documenting strong historical value and size effects. (Fama is also famous – or infamous, depending on your perspective – for his association with the efficient market hypothesis.) The core observation of Fama and French’s seminal papers was that the returns on small-company and value stocks – those with high book-to-marke...

‎in 1970‎, ‎menegazzo [gruppi nei quali ogni sottogruppo e intersezione di sottogruppi massimali‎, ‎ atti accad‎. ‎naz‎. ‎lincei rend‎. ‎cl‎. ‎sci‎. ‎fis‎. ‎mat‎. ‎natur. 48 (1970)‎, ‎559--562.] gave a complete description of the structure of soluble $im$-groups‎, ‎i.e.‎, ‎groups in which every subgroup can be obtained as intersection of maximal subgroups‎. ‎a group $g$ is said to have the $fm$...

This paper examines the validity of the Sharpe-Linter-Black Capital Asset Pricing Model (CAPM) to stocks traded on the Barbados, Jamaica and Trinidad & Tobago Stock Exchanges. Tests of the CAPM are based on portfolio betas made up of stocks emanating from all three exchanges and are carried out on the alternative multifactor specification proposed by Fama and French (1992), extended to include ...

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...

This paper analyzes the empirical performance of two alternative ways in which multi-factor models with time-varying risk exposures and premia may be estimated. The first method echoes the seminal twopass approach advocated by Fama and MacBeth (1973). The second approach extends previous work by Ouysse and Kohn (2010) and is based on a Bayesian approach to modelling the latent process followed ...

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Anesthesia and analgesia are important in human and veterinary medicine, especially in surgical procedures. Rodents, avians, and exotic species are required to be anesthetized using an appropriate anesthetic regimen. This study aimed to suggest a new anesthetic drug and method in order to facilitate anesthesia as well as analgesia among rabbits, laboratory animals, and humans. Spinal inje...

‎In 1970‎, ‎Menegazzo [Gruppi nei quali ogni sottogruppo e intersezione di sottogruppi massimali‎, ‎ Atti Accad‎. ‎Naz‎. ‎Lincei Rend‎. ‎Cl‎. ‎Sci‎. ‎Fis‎. ‎Mat‎. ‎Natur. 48 (1970)‎, ‎559--562.] gave a complete description of the structure of soluble $IM$-groups‎, ‎i.e.‎, ‎groups in which every subgroup can be obtained as intersection of maximal subgroups‎. ‎A group $G$ is said to have the $FM$...