Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 47 for “"Fama French"”.
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Application of the Fama-French Model to Singapore REITs
The paper applies the Fama French 3-factor Model to Singapore REITs’ market to determine if the model has strong explanatory power on Singapore REITs’ excess return over a 11-year period from 2009-2019. Several previous studies have illustrated that the Fama French Model has superior predictive …
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Farmland Risk-Return Characteristics and Fama-French 5 Factor Model
… to examine if latest methodologies, such as the Fama-French five-factor model, can offer a more nuanced explanation of farmland returns or affirm the unique risk-return dynamics of farmland identified in earlier research. Additionally, this paper delves into the particular risk attributes …
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Testing Alternative Versions of the Fama-French Five-Factor Model: Evidence from Chinese Non-Financial Firms
… the applicability and effectiveness of the Fama-French model within the Chinese stock market. While the Fama-French model is extensively used in asset pricing, its performance in emerging markets like China remains insufficiently explored. The Chinese stock market is characterized by unique …
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Revisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Markets
… this dissertation is to revisit the CAPM and the Fama-French multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By thoroughly testing the assumptions underlying these models, several departures are …
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New Factor Structure Models and Idiosyncratic Volatility
… new factor structures that are based on the Fama-French style factors but include additional locations like the industry groups and the exchanges where the stocks are traded. I show that the stock returns are clustered around the industry groups and the exchanges. Idiosyncratic volatility …
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Essays on investment
… performance of sector portfolios with Fama-French three-factor (3FM) and five-factor models (5FM). We argue that if either of the models generates true alpha then we can incorporate investment strategies to generate higher returns. Although our empirical findings assert the theoretical …
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Multiple asset class investing : equilibrium asset pricing evaluation of real estate risk and return across four quadrants
… Sharpe-Lintner CAPM, as well as the multi-beta, Fama-French CAPM. For the single-factor formula we explore the use of two different market portfolio proxies, the S&P 500 Index and the National Wealth Portfolio (NWP). We also apply the single-factor formula to a non-wealth based, consumption …
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Stocks are from Mars, real estate is from Venus : an inquiry into the determinants of long-run investment performance
… Sharpe-Linter model, as well as a multi factor Fama-French-like model. The beta for the portfolios was defined with respect to the performance of the aggregate of all NCREIF properties. This thesis finds that an equilibrium asset pricing model consisting of the two Fama-French-like factors, …
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Three essays in financial economics
… of an existing risk factor model such as the Fama-French three-factor model. Two features of a systematic factor, weakly positive autocorrelation and the leverage effect, generate a small positive alpha in the factor portfolio scaled by its own past returns. The momentum portfolio magnifies …
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Effect of executive compensation on firm performance
… returns better as an additional factor to the Fama-French 3-factor model. When CEOs are compensated with higher PPS, firms experience higher return on asset (ROA). The higher PPS also leads to the higher risk-taking. While CEO incentive compensation has been perceived mixed on its …
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Tvarių investicinių fondų veiklos vertinimas /
… evaluate the returns and risks of funds. CAPM, Fama – French 3 factor and Carhart 4 factor models were used in order to identify the most important factors affecting the returns and compare the performance of sustainable funds to their traditional counterparts. The performed analysis of standard …
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An Empirical Application of Interactive Fixed Effect Model on Asset Pricing
… die Arbitrage-Pricing-Theorie und das Fama-French-Multi-Factor-Modell. 2012 haben Conner et al. entwickelte ein nichtlineares Faktormodell, das einen nichtlinearen Zusammenhang zwischen Risikofaktoren und Aktienrenditen voraussetzt, was eine Ergänzung des linearen Multi-Faktor-Modells …
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Time-series and cross-sectional momentum investment strategies: International evidence
… time, countries and asset classes, leading Fama (1998) to observe that momentum remains the “premier unexplained anomaly”. The existence of the momentum abnormal returns continues to challenge the market efficiency theory. The majority of momentum studies have investigated cross-sectional …
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Essays on macroeconomic risks and stock prices
… premium cannot be explained by either the Fama-French factors or industry effects. Instead, I argue the premium arises because high inflation lowers expectations of future real consumption growth. To formalize and test this hypothesis, I develop a consumption-based general equilibrium …
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An exploration of two accounting-based models for earnings misstatements and their implications for stock returns
… at the industry level. Finally, by running Fama-French three-factor regressions at the aggregate level, I provide evidence that the firms flagged by the MScore generally yield negative risk-adjusted stock returns. The evidence suggests public availability of financial statements alone does …
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The long-run investment performance of initial public offerings (IPOs) in South Africa
… was found on a calendar-time approach using the Fama- French (1993) three-factor model. While the long-run performance did not differ materially, factors such as financial and industrial industry classifications were found to impact after-market performance of IPO portfolios. It was found that …
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The Evaluation of Domestic Socially Responsible Investment Equity Funds Performance in Australia
… of SRIFs by employing the Jensen (1968) CAPM, Fama–French (1993) 3-factor and the Carhart (1997) 4-factor models. The results show that SRIFs outperform the SRI index between November 2002 and February 2018. I also find evidence that SRIFs have a preference for value stocks and past winners. No …
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Is Firm Value Affected by Being Recognized as a Top 50 Company in Diversity, Equity, and Inclusion?
… Top 50 Company for Diversity. The results of the Fama-French 3, 4, and 5 models find a negative long-term effect on firm value starting almost immediately after the announcement and continuing for at least the five weeks after the announcement of the DiversityInc Top 50 Companies for Diversity …
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