In asset pricing and portfolio management the Fama–French three-factor model is a model designed by Eugene Fama and Kenneth French to describe stock… (More)

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2017

2017

- Lin Huo, Xiaoli Sun
- 2017 IEEE International Conference on Big Data…
- 2017

We propose that social interaction is a potential risk factor in the asset pricing model of the stock market. “Panorama net” is a… (More)

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2017

2017

- Wenting Jiao, Jean-Jacques Lilti
- 2017

Background: Fama and French propose a five-factor model that contains the market factor and factors related to size, book-to… (More)

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2015

2015

- Islem Boutabba
- 2015

The study of mean returns of American stocks showed a poor coefficient of the Sharpe (1964) and Lintner (1965) capital asset… (More)

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2014

2014

- Anders Vilhelmsson, Jingjing Guo, Kaiwen Wang
- 2014

........................................................................................................................................... 1 Acknowledgements.......................................................................................................................... 2 Table of contents .............................................................................................................................. 3

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2012

2012

- David Kilsgård, Filip Wittorf
- 2012

The study examines the adequacy of the measurement of the cross-section of expected stock returns on the London Stock Exchange of… (More)

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2012

2012

- Martin Wallmeier, Kathrin Tauscher
- 2012

In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big () and… (More)

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Highly Cited

2011

Highly Cited

2011

This study assessed the dimensionality of the Empathy Quotient (EQ) using two statistical approaches: Rasch and Confirmatory… (More)

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2009

2009

- Anyssa Trimech, Hedi Kortas, Salwa Benammou, Samir Benammou
- 2009

Purpose – The purpose of this paper is to discuss a multiscale pricing model for the French stock market by combining wavelet… (More)

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2007

2007

- Surajit Ray, N. E. Savin
- 2007

THE PERFORMANCE OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS: A MONTE CARLO STUDY WITH AN APPLICATION TO THE THREE… (More)

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2002

2002

Characterizing the instantaneous investment opportunity set by the real interest rate and the maximum Sharpe ratio, a simple… (More)

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