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.
Results
Showing 1 to 8 of 8 for “"Fama-French three-factor model"”.
-
An empirical study on anomalies in China's stock market
… and to what extent. In Chapter 6, according to Fama-MacBeth approach, I build a univariant model to examine whether Capital Asset pricing Model and Fama-French Three-Factor Model hold in China's stock market, and lo analyse empirically the asset pricing characteristics of China's stock market. …
-
Two studies of Japan-REIT performance : modeling risk and tracking property-level performance
… and an underlying property-level: first, to do "factor loadings" that identify systematic risks of long run investment performance in J-REITs; second, to demonstrate "Pure Play Indices," segment-specific indices of REIT-based property market returns by tracking monthly REIT return data and …
-
Sind Veröffentlichungen von publikationspflichtigen Unternehmensmeldungen faktorbasierte Marktrisiken? Eine Untersuchung von Noise-Trader-Risiken und Noise-Trader-Heuristiken
… are inefficient the Behavioral Asset-Pricing Model (BAPM) developed by Shefrin and Statman postulates a noise trading risk premium. A theoretical analysis reveals, that the abnormal expected return is an aggregated risk, including risk factors momentum, value and beta factor. Size approximates …
-
ESSAYS ON DIGITAL CURRENCY
… around the world. The Capital Asset Pricing Model and the Fama-French Three Factor Model are used to examine the systematic risk of Bitcoin, and the optimal proportion of Bitcoin in an investment portfolio is estimated by the mean-variance portfolio analyses. The results show that Bitcoin is …
-
Three Essays on Return Predictability and Decentralized Investment Management
… bounds, implying that existing asset pricing models are incapable of explaining the degree of return predictability. For example, the predictive R2 of the price dividend ratio for the U.S. market forecasting is 0.27% with monthly data. However, the theoretical upper bound is at most 0.07% with …
-
Three essays in financial economics
… away within the framework 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 …
-
The determinants of the risk premium required by Italian private equity funds.
… reveals that PEFs apply neither rational-based models nor explicit formulae to assess risk exante. By observing a set of phenomena unique to the PEF sector (fees effect, investment speed effect, persistence effect, money-chasing deal phenomenon, illiquidity effect, etc) whose existence has been …
-
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 …