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 38 for “"Fama and French"”.
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HML, SMB, and GDP: Do Fama and French Factors Contain Information for Future Domestic Product in the United States?
… strategies selected by book-to-market values and market capitalization exhibit correlations to future real Gross Domestic Product (GDP) growth in the United States. Using the factor returns from 1993 to 2012 contrasting against future GDP growth from 1994 to 2013, the outcome of this study …
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Forecasting value-weighted real returns of TSE portfolios using dividend yields
… return horizons, T: monthly, quarterly, and one to four year. Fama and French [4] applied similar methods to the New York Stock Exchange and found the forecast power increases as the return horizon increases. We find that the Fama and French methods generalize to TSE portfolios, however, …
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Essays in capital markets
… consumption goods (IMC) proxies for the shock and is a priced risk factor. The value of assets in place minus growth opportunities falls after positive shocks to investment technology, which suggests an explanation for the value puzzle. I formalize these insights in a dynamic general …
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Testing capital structure theories : Evidence from REITs
The trade-off theory, the pecking order theory and the market timing theory are three competing theories of capital structure that have been widely examined in finance literature. But empirical tests of REITs capital structure were limited.This study employs a partial adjustment model of Fama and …
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The book-to-market ratio and Schwert-Seguin type tests of volatility
… research on the book-to-market (BM) anomaly and research on time-varying capital asset pricing models (CAPM). Fama and French (1992) introduced the BM anomaly to the academic literature and suggested that it might be driven by changes in economic variables missed by the static CAPM. Using the …
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Firms’ financial flexibility and the profitability of style investing
… long on stocks with high Book-to-Market ratio and short on stocks with low Book-to-Market ratio), the momentum trading strategy (going long on stocks that have performed well and short on stocks that have performed poorly recently), and the accruals based trading strategy (going long on stocks …
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Evaluation of Asset Pricing Models in the South African Equities Market
… Asset Pricing Model is a widely used tool and is one of the early developed asset pricing models in modern finance. There are continual improvements of this model with the evident multifactor models of Fama and French (2015), Carhart (1997) and the South African two – factor arbitrage …
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The cross section of expected stock returns revisited
We review and extend two important empirical financial studies: Fama and MacBeth [1973] and Fama and French [1992]. Fama and MacBeth [1973] sort stocks on the New York Stock Exchange into 20 portfolios based on their market [beta]. They test for, and conclude that, [beta] does in fact explain the …
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The predictive nature of short interest on market returns and the effect of short selling on volatility, liquidity and price discovery with some international evidence
… to explore the findings of Boehmer et al. (2010) and in particular test across model specification investment horizon and across countries. This in turn means I look at whether short sellers are informed traders and if there is evidence that short sellers engage in market manipulation. I also look …
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Effect of market anomalies on expected returns on the JSE: A cross-sector analysis
The efficient market hypothesis and behavioural finance have been the cause of much debate for decades, with one theory advocating market efficiency and the other opposing it. The efficient market hypothesis (EMH) assumes that investors always act rationally and stock prices adjust rapidly to new …
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Applications of global equity style indices in active and passive portfolio management
The success of the Fama and French 3-factor model in explaining empirical anomalies of the Capital Asset Pricing Model (CAPM) suggests that style investing which places portfolios out-of-sync with the broad market has the potential to generate significant alpha. Since momentum abnormal return is …
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The effects of research and development expenditure on long-term stock returns: an analysis of the BRICS nations
Research and development (R&D) facilitate and drive innovation, which plays a critical role in increasing competitiveness for firms and contributing to economic growth. This study examines a sample of 970 firms from Brazil, Russia, India, China and South Africa (BRICS) between 2007-2020 who …
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Dividend Signaling and Sustainability
… dividends have not only become less common (Fama and French, 2001), they have become less sticky, too. Today, it is not uncommon for a firm to cease dividend payments within three years of initiation. I examine the differences between firms that continue to pay dividends for a long period of …
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The determinants and predictability of South African listed property returns
This study investigates the determinants and predictability of listed property returns in South Africa based on the framework developed by Eugene Fama and Kenneth French. The study tests four asset pricing models, including the Capital Asset Pricing Model (CAPM) developed by Sharpe (1964) and …
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Tariffs and stock returns : the effect of U.S. tariffs and Canadian, Chinese and European retaliatory tariffs in 2018
… in 2018 between the United States on the one hand and the European Union, China and Canada on the other, on stock returns of publicly traded companies, is analysed. The major events of the trade war in 2018 are included in the study. The study was formalised into two hypotheses. Firstly, that …
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Determinants of U.S. corporate credit spreads.
… between yields to maturity for corporate bonds and default-free instruments (Treasury bonds) of the same maturity. Corporate credit spreads are considered as measures of default risk. However, the premium required by investors for holding risky rather than risk-free bonds will incorporate a …
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The conditional CAPM and the cross section of expected returns : evidence for the Canadian market
… version of the CAPM, proposed by Jagannathan and Wang (1996), that allows betas (Ý) to vary over time as proxied by the yield spread between three-month Prime Corporate Paper and the three-month T-Bill rate ([Special characters omitted.] ). The model also includes a measure of the sensitivity …
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Issues in Derivatives Price Dynamics
… experience large negative returns (e.g. Coval and Shumway, CS 2000). These stylized facts have, in turn, spawned two streams of literature that provide alternate explanations based on crash risk and buying pressure. In this study, we obtain data on all transactions on Treasury futures call and …
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The analysis of stock returns in the London Stock Exchange in the context of the cyclical adjusted price to earnings ratio signals.
… Adjusted Price to Earnings (CAPE) ratio and to analyse the performance of asset pricing models in the context of different market sentiments, as highlighted by the CAPE ratio. The behaviour of stock returns in the light of different asset pricing models is evaluated and compared in …
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Two Essays on Equity Mutual Funds
… that expected market returns vary over time and that this variation can be predicted by variables such as dividend yields and book-to-market ratios (Fama and French (1989); Campbell and Thompson (2008)). Further, macroeconomic variables affect asset returns (Flannery and Protopapadikas …
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