As the Internet became widely used, problems associated with its excessive use became increasingly apparent. Although for the assessment of these problems several models and related questionnaires have been elaborated, there has been little effort made to confirm them. The aim of the present study was to test the three-factor model of the previously created Problematic Internet Use Questionnair...

A survey was caTied out of the aquatic fauna of the headwaters of two high-altitude 0170-1355 m) streams draining Mt Doris and two streams draining Mt Pelion East in Tasmania. Although the fauna above the treeline appeared to be characterised primarily by the loss of downstream. fama, three Trichoptera (Notoperata maculata, an unidentified genus from the Kokiriidae, and Plectrotarsus sp.) and o...

The power of mean reversion tests has long been a tacit issue of the market efficiency literature. Early tests of market efficiency, as summarized in Fama Ž . 1970 , found no economically significant evidence of serial correlation in stock Ž . returns. However, Summers 1986 later suggested that this was because these tests lacked power: Summers suggested a model of AfadsB in which stock prices ...

This paper studies the behavior of idiosyncratic volatility for the post war period. Using aggregate idiosyncratic volatility statistics constructed from the Fama and French (1993) three-factor model, we find that the volatility of individual stocks appears to have increased over time. This trend is not solely attributed to the increasing prominence of the NASDAQ market. We go on to suggest tha...

This study aimed to present a model for portfolio risk premium assessment of companies listed in Tehran Stock Exchange. In order to achieve this purpose, monthly data of 150 companies listed in Tehran Stock Exchange during 2007-2017 was used. In this study, the predictive powers of FamaFrench three-factor model [11], Carhart four-factor model [1], Fama - French five-factor model [24], Brousseau...

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 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 ...

We study the performance of conditional asset pricing models in explaining the German cross-section of stock returns. Our test assets are portfolios sorted by size and book-to-market as in the paper by Fama and French (1993). Our results show that the empirical performance of the Capital Asset Pricing Model (CAPM) can be improved substantially when allowing for time-varying parameters of the st...