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Yuu Tanimoto and Shinichi Yoshida
Estimating the fruit size is an important factor because it directly influences size-specific yield estimation, which would be useful for pricing in the market. In this paper, it was considered a method of constructing models for estimating the proportio...
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Asmâa Alaoui Taib and Safae Benfeddoul
This study empirically tests and compares the performances of three famous financial asset valuation models in the Moroccan stock exchange: CAPM, the Fama and French three-factor model, and the Fama and French five-factor model. Our sample considers mont...
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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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Pablo Solórzano-Taborga, Ana Belén Alonso-Conde and Javier Rojo-Suárez
Recent literature shows that market anomalies have significantly diminished, while research on market factors has largely improved the performance of asset pricing models. In this paper we study the extent to which data envelopment analysis (DEA) techniq...
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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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Huijian Dong and Xiaomin Guo
Farmland valuation models usually incorporate local purchasing power as one of the pricing factors. A plausible rationale is that a larger population and higher income per capita imply increasing demand for agricultural products and farmland. In this pap...
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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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Alexandre Schwinden Garcia,André Alves Portela Santos
Pág. 81 - 122
This article estimates for the Brazilian market the multifactor pricing model proposed by Fama and French (2015, 2016) and provides a detail of five anomalies: beta, net share issues, momentum, volatility and accruals. The results indicate that the inclu...
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Jieting Chen and Yuichiro Kawaguchi
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Verônica de Fátima Santana,Alex Augusto Timm Rathke
Pág. 545 - 572
This research aims to compare the performance of a statistical factor asset pricing model with the Fama-French-Carhart 4-factor model. We perform a Principal Component Analysis (PCA) to extract latent risk factors using data of stocks listed on B3 from 2...
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