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Mimoun Benali, Karima Lahboub and Abdelhamid El Bouhadi
In this study, the reliability of the Fama?French Three-Factor model (FF3F) and the Carhart Four-Factor model (C4F) is examined thoroughly. In order to determine which of the asset pricing models is the best to explain portfolio returns on the Moroccan s...
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Milo? Ðakovic,Jelena Andra?ic,Danica Cicmil
Pág. 183 - 197
One of the basic types of portfolio valuation as well as valuation of individual company shares is the CAPM (Capital Asset Pricing) model, which uses a well-known measure of systemic risk in its analysis, which is beta. The CAPM model in its analysis use...
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Francesco Asdrubali, Daniela Venanzi, Luca Evangelisti, Claudia Guattari, Gianluca Grazieschi, Paolo Matteucci and Marta Roncone
The majority of Italian schools (70%) were built in the absence of any legislation related to energy efficiency, and therefore have very low energy performance due to aging or poor quality of construction. An energy retrofit of this building stock is nee...
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Nsama Musawa,Sumbye Kapena,Chanda Shikaputo
AbstractBackground: The Fama and French five-factor model (FF5M) is one of the stock valuation model that is on the cutting edge of finance research. Results from the empirical tests from various stock markets were the FFM5 has been tested since its laun...
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Morotola Pholohane, Oluseye Ajuwon, Nicolene Wesson
Pág. 59 - 93
This study explored the price reactions of shares moving in and out of Johannesburg Stock Exchange (JSE) Top 40 Index by applying three models to calculate the abnormal returns of the stocks; namely: the market model, the Capital Asset Pricing Model (CAP...
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Muhammad Zeeshan,Jiabin Han,Alam Rehman,Kashif Saleem,Raza Ullah Shah,Amir Ishaque,Naveed Farooq,Arif Hussain
Pág. 151 - 157
Mutual Funds enable small investors to enjoy the benefits of the capital market instruments with small amount using the expertise of professional managers. This study examines the risk adjusted performance, timing and selection abilities of conventional ...
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Wang Qingshi,Li Naiqian,Hashmat Ali
Pág. 16 - 23
According to characteristics of revenue and risks involved in film investments, this paper expounds that movies can also be treated as a common tradable asset in capital markets. Consequently, this study employs the famous Arbitrage Pricing Theory (APT) ...
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Paula Nayara Costa,João Eduardo Ribeiro,Lilian Marques Nagem Byrro,Claudia Faria Maciel
Pág. 21 - 36
A análise de investimentos busca a avaliação e a seleção de oportunidades que darão à empresa um retorno econômico coerente com suas metas. As empresas, de forma a se manterem competitivas no mercado, precisam selecionar projetos relevantes que apresenta...
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Keith Pilbeam and Hamish Preston
This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen?s alpha measures of active management provide strong evidence that Japanese Mutual Funds fai...
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Leszek Czapiewski and Joanna Lizinska
This study tests possible sources of long-term risk-adjusted returns on initial public offerings (IPO) in Poland under the calendar-time portfolio (CTP) approach. The moment of going public still remains a puzzle in many areas. Poland?s status as an emer...
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