发现中国版的Fama-French四因子模型对混合型基金收益的解 释能力更强,基金收益来源主要为投资小盘成长股,大部分基金与市场收益同向 但对市场收益不敏感,混合型基金投资高EP比的大盘股会削减组合回报,而投 资低换手率股票获取的正向回报也是混合基金收益的一大来源。本文同样对基金 经理的择时选股能力进行了研究,只有约...
便是Fama和French在2015年提出的Fama-French五因子模型。该模型以股利折现模 型为经济理论基础,在原三因子模型的基础上又引入了盈利因子和投资因子,弥补了原 三因子模型缺乏经济理论基础的不足,提高了模型对股票市场收益率的解释能力。我国 证券市场从上世纪九十年代初创立至今,已走过近30个年头。虽然在规模上已经超...
CAPM or the Fama-French model may have limited capacity to describe REIT returns (Chiang et al., 2008). In this respect, considering the potential for different macroeconomic and industry specific conditions to have positive/negative impacts on the return of REIT shares, expanding Fama-French mode...
The inability of the general three-factor model to price industry returns is consistent with other related studies (Fama and French, 1997; Ferson and Locke, 1998; Pastor and Stambaugh, 1999). Perhaps this is because changes over time in the size and the book-to-market ratios of the ...
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 monthly data covering the sample period of July...
Based on Fama and French (2015) and Carhart (1997), RMW and WML are common risk factors. A fall in these premiums following a rise in financial distress and probability of liquidity crisis, contradicts Fama and French (1996) and the Efficient Market Hypothesis. These results also fail to ...
COVID-19; investor preferences; equities; Fama–French; risk factors; crises; industrial finance JEL Classification: G01; G10; G111. Introduction The classification of the COVID-19 virus as a global pandemic by the World Health Organisation on 11 March 2020 sent shockwaves across global ...