Fama-French
The Effectiveness of Fama French 3 Factor Model in Predicting Globally Diversified Portfolio Returns
... the Fama French model was that the value premium was sample specific and was likely to be a “mere artifact of data mining” as indicated by Black ...the Fama and French model ...
5
US sector rotation with five-factor Fama–French alphas
... Table 6 shows similar results. According to FF5 model alpha, Durables, Manufacturing and ‘Others’ significantly underperform by 0.45%, 0.16%, and 0.23% respectively, after adjusting for market, size, value, profitability ...
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Does cross sectional variances of Fama French factors improve predictability of stock returns? : a research report submitted in partial fulfillment of the requirements for the degree of Master of Finance at Massey University
... The results from this research clearly and strongly endorse the assumption that, out of the three Fama-French factors, the book-to-market factor and the size factor show significant impr[r] ...
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Testing the CAPM Theory Based on a New Model for Fama French 25 Portfolio Returns
... To answer these questions, simulation is done first. Then, the empirical data of Fama-French 25 stock port- folios are analyzed. Sample period is from January 1926 to December 2011. Method of Maximum ...
16
The Cross Section of Stock Returns: An Application of Fama French Approach to Nepal
... However, most of the research concentrated on the U.S. and developed capital markets may not be applicable to less-developed and emerging capital markets. To the best of our knowledge, no study has been carried out in ...
9
Analysis of 48 US Industry Portfolios with a New Fama French 5 Factor Model
... In this paper, we analyze US stock market with a new 5-factor model in Zhou and Li (2016) [1]. Data we use are 48 industry portfolios (Jul. 1963-Jan. 2017). Parameters are estimated by MLE. LR and KS are used for model ...
19
Fama-French Five Factor Model: Evidence from Turkey
... and French (2012) developed Fama-French Four Factor Model (FF4F) which includes momentum in addition to the ...recently, Fama and French (2014) introduce a Fama-French ...
8
Analysis of US Sector of Services with a New Fama French 5 Factor Model
... model. Fama and French (2015) [9] also showed that the FF5 model can explain quite well for North America and other 3 ...(like Fama-French 3-factor model and Carhart 4-factor ...
14
The Fama-French Three-Factor Model under uncertainty
... and French (1993) [9] introduceda kind of empirical factor research method in asset pricing research, and the specific research method is to build a simulation investment portfolio by sorting some characteristics ...
11
State of the current property market in relation to the property bubble phenomenon in Johor
... Abstract— For the past fifteen years, housing property in Malaysia has underwent tremendous price increment. However, once the housing price deviates too much from its fundamental value, it may give rise to problems and ...
5
Do Idiosyncratic Risks in Multi Factor Asset Pricing Models Really Contain a Hidden Non Diversifiable Factor? A Diagnostic Testing Approach
... and Fama-French [3] model with the excess returns of 1391 firms indicate that there is a strong likelihood that the CAPM may require further identification of hidden non-diversifiable ...the ...
13
Profitability of CAPM Momentum Strategies in the US Stock Market
... the Fama–French alphas are shown in Tables 5A– ...the Fama–French regressions lend support to the fact that the past losers in portfolio P10 underperform the market in a greater magnitude than ...
16
Idiosyncratic Volatility and Cross-section of Stock Returns: Evidences from India
... The findings of the study suggest that IV and EI explain the cross-section of stock returns significantly in Indian context. The explanatory power of EI doesn’t improve after controlling for UI, but when we control for ...
12
Risk Parity Portfolios with Risk Factors
... We illustrate our methodology with real life examples. Our first application deals with risk budgeting of the Fama-French equity factors. Commonly, one uses regression models to measure the exposure of an ...
33
Informational Uniqueness, Corporate Disclosure and Information Environment
... SIC, Fama-French 48 industry classification (FF48), and textual product-based classification (TNIC) by Hoberg and Philips (2010, ...SIC, Fama-French 48 industry classification (FF48), and ...
180
An empirical cross-section analysis of stock returns on the Chinese A-share stock market
... the Fama-French three-factor model was more accurate in predicting stock excess returns than the CAPM, since the adjusted R 2 value increased and the intercept was not significantly different from ...
10
An Empirical Validation of Fama and French Three-Factor Model (1992, A) On Some US Indices
... of Fama-French three-factor model aims at determining the optimal configuration that allows for a better explanation of returns, especially, we should observe high values of to confirm that the indices are ...
11
Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange
... Their results demonstrate that even after controlling risk premium, firm’s size and book to market ratio in Fama-French three-factor model, as well as momentum effect [r] ...
19
Risk components in UK cross sectional equities: evidence of regimes and overstated parametric estimates
... Descriptive statistics for the pooled sample - monthly data from January 1990 to December 2009. The “Mean” values are not market-value weighted but equally weighted. The first 12 months (January-December 1990) have been ...
24
Tests Of The Fama And French Three Factor Model In Iran
... the Fama- French factors to insignificance in almost every ...the Fama-French factors proxy for higherorder co-moments, as the F-F loadings generally become insignificant when higher-order ...
16