Fama-French Five Factor Model
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 ...
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Examination of the Predictive Power of Fama-French Five-Factor Model by the Inclusion of Skewness Coefficient: Evidence of Iranian Stock Market
... Return forecast accuracy for future investment decisions is always considered as the investors' concerns. They are always looking for models and methods which improve the accuracy of their forecast in future returns. ...
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The Application in the Portfolio of China's A-share Market with Fama-French Five-Factor Model and the Robust Median Covariance Matrix
... portfolio model, investors calculate the expected return of assets and the covariance matrix for optimal asset ...the Fama-French five-factor model and the robust median ...
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Developing revised Fama-French Five-Factor models by including dividend rate, cash holdings, and Free cash flow to equity: evidence of Tehran stock exchange
... of Fama-French Five-Factor Model (FFFFM) as one of the powerful methods for pricing financial assets and predicting the stock ...prediction model is ...
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US sector rotation with five-factor Fama–French alphas
... FF5 model alpha, Durables, Manufacturing and ‘Others’ significantly underperform by ...FF5 model to the sector ...setting Fama-French five-factor model is more accurate ...
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Investigation the strength of Five-factor model of Fama and French (2015) in describing fluctuations in stock returns
... volatility factor on the right of the equation does not play any role in the formation of portfolios, by introducing this variable in the formation of dependent variables portfolios and by examining the average ...
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Analysis of US Sector of Services with a New Fama French 5 Factor Model
... 5 factor model of Fama and French ...(US five factors, North American five factors, Global five factors) from French’s Data Library are analyzed and ...
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Functioning of Fama French Three Factor Model in Emerging Stock Markets: An Empirical Study on Chittagong Stock Exchange, Bangladesh
... The main objective of this study is to test the functionality of the Fama and French three-factor model in the Chittagong Stock Exchange (CSE). Formal trading started at CSE on October 10 ...
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Fama and French Three-Factor Model: Evidence from Istanbul Stock Exchange
... the Fama and French three-factor model on Istanbul Stock Exchange ...the model with Turkish equity market ...reliable model on explaining portfolio returns variations and the ...
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Comparisons of Asset Pricing Models in the Egyptian Stock Market
... of five alternatives of asset pricing models for 55 shares listed on the EGX100 for the Egyptian stock market: 1) the CAPM, 2) the Fama-French three factor model, 3) the Cahart four ...
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An empirical cross-section analysis of stock returns on the Chinese A-share stock market
... returns. Fama and French (1992) examined the relationship between five factors (beta, firm size, BTM ratio, DE ratio (Debt/Equity ratio) and EP ratio (Earning/Price ratio)) using the US stock market ...
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Analysis of the Effect of Index Futures on Stock Market with a New Fama French 3 Factor Model
... One group of researchers show volatility of spot market is increased after the introduction of Index Futures. For example, Kang and Yoon (2007) found that the spot market became more volatile after the introduction of ...
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A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock Exchange
... The CAPM defines systematic risk or beta as the only factor explaining differences in returns on stock. However, empirical evidence indicated that beta, acting as the systematic risk indicator, did not have the ...
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On the Performance of Socially Responsible Investing: Further Evidence
... Following Fama and French (1993) and Carhart (1997), we evaluate the portfolios’ performance while controlling for multiple factors such as fi rm’s size, profi tability which are pointed out as important ...
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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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Threshold Effect of Scale and Skill in Active Mutual Fund Management
... This table shows the result of the “buy young, sell old” trading strategy. At the beginning of each month, we rebalance the two equally weighted portfolios by the manager tenure of the preceding month end. Thereafter, we ...
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A New Fama French 5 Factor Model Based on SSAEPD Error and GARCH Type Volatility
... 5-factor model in Fama and French (2015) with the non-Normal errors distribution of SSAEPD (Standardized Standard Asymmetric Exponential Power Distribution) in Zhu and Zinde-Walsh (2009) and ...
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Understanding Investor behavior and it's implications on Capital Markets The Indian Context
... The empirical studies have focused on testing under various events including cross country and cross market studies. Chan, Cheng and Khorana, (2000), provide empirical evidence analyzing herd behavior in the US, Hong ...
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Performance Evaluation of Pakistan's Mutual Fund through CAPM and Fama French 3-Factor Model
... Pricing Model showed significant and checked the relationship between 2 ...CAPM model compare with high and low returns after the comparison high returns does not show the variation in the market and need ...
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Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange
... Here, we used BSM model as a measure for default risk. As mentioned above, this measure has much less restrictions and only needs removing stocks of companies active in the financial sector because of their ...
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