33 Results Found

Timor-Leste is a new country still in the process of economic development and does not yet have a capital market for stock and bond investments. These two asset classes have been invested in international capital markets such as the US, the UK, Japan...

Scholars and investors have been interested in factor models for a long time. This paper builds models using the monthly data of the A-share market. We construct a seven-factor model by adding the Hurst exponent factor and the momentum factor to a Fa...

This study empirically analyzes return data from select energy companies in developed and emerging markets using the Fama-French three- and five-factor asset-pricing models in crisis settings. It researches whether these models are suitable to produc...

Property stocks are an attractive alternative investment for investors who want passive income. Investors’ decisions focus not only on maximizing returns but also on reducing risk. This study examines the extent to which macroeconomic factors a...

The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global...

This study empirically tests and compares the performances of three famous financial asset valuation models in the Moroccan stock exchange: CAPM, the Fama and French three-factor model, and the Fama and French five-factor model. Our sample considers...

This analysis investigates the performance and underlying dynamics of the Fama–French Five-Factor Model (FF5M) in the context of the COVID-19 pandemic, exploring its implications on the U.S. stock market across 30 industries. Our findings revea...

To sin, or not to sin: that has been the question for many people for a long time, and nowadays that question has moved to the financial markets. The existence of studies that show that investing in vice sectors such as the alcohol, tobacco, and gamb...

This study explores risk–reward patterns in the US stock market and establishes optimal factor-based investing using the Fama–French five-factor model through market cycles constructed by Shiller’s interest rates and Baker–Wur...

This study examines the impact of energy-related uncertainty on idiosyncratic volatility (IVOL) in Chinese firms, leveraging data from the Shanghai and Shenzhen stock exchanges between 2007 and 2022. Utilizing the Energy-Related Uncertainty Index (EU...

This study empirically analyzes and compares return data from developed and emerging market data based on the Fama French five-factor model and compares it to previous results from the Fama French three-factor model by Kostin, Runge and Adams (2021)....

Understanding risk-adjusted returns in real estate investment are crucial, but little is known about the risk-adjusted returns for direct real estate. This paper examines risk-adjusted total returns by developing an extended capital asset pricing mod...

Using stock return data for the Japanese equity market, for the period from July 1983 to June 2018, we analyze the effect of major nuclear disasters worldwide on Japanese discount rates. For that purpose, we compare the performance of the capital ass...

In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model...

Accurately predicting asset returns remains a central challenge in finance, with significant implications for portfolio optimization and risk management. In response to the challenge, this study evaluates the predictive performance of machine learnin...

This study focuses on assets related to Sustainable Development Goals (SDGs), which are the most recent aspect of the Socially Responsible Investment framework and have caught the attention of investors due to their investment opportunities as well a...

We here analyze the factor loadings given by the CAPM, the Fama–French three (FF3), and the five-factor model (FF5), and test the performance and the validity of adding two more factors (volatility and dispersion of returns) to the FF5 factor m...

To search significant variables which can illustrate the abnormal return of stock price, this research is generally based on the Fama-French five-factor model to develop a multi-factor model. We evaluated the existing factors in the empirical study o...

Environmental portfolios via screening or optimization with respect to ecological criteria are not clear-cut concepts. Often, they urge investors to reduce the asset universe, which is accompanied by diversification losses. In this article, we show t...

This study examines the explainability, validity, and applicability of multi-factor models in explaining the returns of Green (eco-friendly), Grey (neutral), and Red (environmentally harmful) EU securities. We apply the Fama–French three-factor...

This study examines the impact of environmental regulation on the Singapore stock market using the event study methodology. Several asset pricing models are used to estimate sectoral abnormal returns. Additionally, we estimate the change in systemati...

In this article, we investigate the notion of doing well while doing good from the perspective of passive portfolio strategies. We analyze a number of asset allocation strategies based on ESG-weighting and compare their financial and ESG performance...

This study investigates whether publicly listed cannabis shares provide enough risk-adjusted returns to warrant their incorporation into diversified portfolios. An equally weighted portfolio of cannabis companies is constructed using monthly data fro...

This paper studies in depth the sensitivity of Spanish companies’ returns to changes in several risk factors between January 2000 and December 2018 using the quantile regression approach. Concretely, this research applies extensions of the Fama...

In recent years, the rapid and significant development of emerging markets has globally led to insight from potential investors and academicians seeking to assess these markets in terms of risk inheritance. Therefore, this study aims to explore the v...

This paper examines the use of the return on gold instead of treasury bills in empirical asset pricing models for the US equity market. It builds upon previous research on the safe-haven, hedging, and zero-beta characteristics of gold in developed ma...

This study comparatively evaluated the Capital Asset Pricing Model (CAPM), the Fama and French three-factor model (FF3), and the Fama and French five-factor model (FF5) in key US market sectors (finance, energy, and utilities). The goals were to opti...

Socially responsible investments, also referred to as ethical or sustainable investments, have experienced rapid global growth in recent years. They represent an investment approach that incorporates social, environmental, and ethical considerations...

In this study, the reliability of the Fama–French Three-Factor model (FF3F) and the Carhart Four-Factor model (C4F) is examined thoroughly. In order to determine which of the asset pricing models is the best to explain portfolio returns on the...

In this research, we employ a full-range tail dependence copula to capture the intraday dynamic tail dependence patterns of 30 s log returns among stocks in the US market in the year of 2020, when the market experienced a significant sell-off and a r...

Over the past decade, multifactor models have shown enhanced capability compared to single-factor models in explaining asset return variability. Given the common assertion that higher risk tends to yield higher returns, this study empirically examine...

The quest for parsimonious models has been a key objective in asset pricing. However, there appears to be no consensus on the most successful asset pricing strategy in the literature, especially for the South African Market. Using financial statement...

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to...