Global ETD Search
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Showing 1 to 3 of 3 for “"Fama-French five-factor model"”.
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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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Farmland Risk-Return Characteristics and Fama-French 5 Factor Model
… such as Barry (1980), who utilized the CAPM model to ascertain the marginal risk farmland contributes to a diversified portfolio, this study aims to examine if latest methodologies, such as the Fama-French five-factor model, can offer a more nuanced explanation of farmland returns or affirm …
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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 …