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 7 of 7 for “"Fama-french model"”.
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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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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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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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Multiple asset class investing : equilibrium asset pricing evaluation of real estate risk and return across four quadrants
… this study is to test equilibrium asset pricing models with respect to how well they price risk across multiple asset classes; including the four quadrants of real estate. While using the Geltner (1999) paper as a springboard for our approach, this thesis both updates Professor Geltner's earlier …
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The cost of equity capital for REITs : an examination of three asset-pricing models
… study is to determine a reliable asset-pricing model that can be used in practice to estimate the cost of equity capital for Real Estate Investment Trusts (REITs). While the cost of equity is an important concept for all industries, it has particular relevance for REITs, as the current …
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Three Essays on Firm Value and Firm Risk and their Relation to IT-Exposure, Corporate Social Responsibility, and Religiosity
… for distinguishing between firms with a business model that is challenged by IT above and below market average. Hence, we estimate the annual IT-Exposure of a firm using a 3-factor Fama-French model extended by an IT-proxy. Subsequently, we analyze the relationship with Tobin’s Q in a panel data …
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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 …