Fama–French three-factor model
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The thesis tests the Fama and French Three-Factor Model on the Croatian stock market. The performance of the model is compared… Expand This study tests the validity of the Fama and French three-factor asset pricing model on the Istanbul Stock Exchange (ISE… Expand This paper empirically examines the Fama-French three-factor model of stock returns for Croatia. In contrast to the results of… Expand This study is focussed on estimating the real interest and inflation sensitivity in Spanish market, proposing an extension of the… Expand The goal of this study is to compare the CAPM to the Fama-French (FF) Three Factor Model and to Carhart‟s extension of the FF… Expand W ITHIN the last few years considerable progress has been made in three closely related areas-the theory of portfolio selection,1… Expand Duration is an important and well-established risk characteristic for fixed income securities. We use recent developments in… Expand This paper investigates nonlinear pricing kernels in which the risk factor is endogenously determined and preferences restrict… Expand This paper examines the relationship between book-to-market equity, distress risk, and stock returns. Among firms with the… Expand This study empirically examines the Fama-French three-factor model of stock returns for India. We find evidence for pervasive… Expand