Do Industries Lead Fama-French Factor Returns in Japan?We investigate whether the returns of industry portfolios in Japan predict Fama and French's well-known smallminus- big (SMB) and high-minus-low (HML) factor returns. In Japan, a significant number of industry returns, such as from ...
After empirical research, through data analysis, this paper believes that compared with the CAPM model, the Fama-French three-factor model has stronger explanatory power to the Internet and related service industries, and considers the scale factor SMB and the book market value ratio factor HML. ...
company's main business is divided into 18 industries sector. Under the two classification methods, this paper uses Fama-French five-factor model for regression respectively to verify the applicability of the model in China's A-share market and the explanatory power of each ...
industries both showed obvious size premium but no the B/P premium.(4)The paper used the modified Amihud illiquidity index to measure the liquidity premium of the GEM and found that the liquidity premium had high degree of correlation with the ...
COVID-19 has been shocking to the global economy. The majority of industries suffer from heavy loss. During this period, investors, who need to withstand this huge financial risk, desire to seek different capital asset pricing models to estimate the performance of various stock portfolios. To he...
Value stocks are often associated with companies that have stable earnings and cash flows, and are considered to be undervalued by the market. These companies are often in mature industries and have established business models. Because of their stability and predictability, value stocks are generally...
doi:10.1080/14697681003762271Chikashi TsujiRoutledgeQuantitative FinanceTsuji, C. (2012b). Do industries contain predictive information for the Fama-French factors? Quantitative Finance, 12, 969-991. http://dx.doi.org/10.1080/14697681003762271
Fama and French define it using the price-to-book ratio of a stock. This seems legitimate for a broad swath of stocks, especially those that are very capital intensive – such as energy, manufacturing, and financial firms – but what about industries that have structurally lower book values ...
C-CAPM prices the Hlth and HiTec industries that have low book-to-market portfolios better than the three-factor model. The inability of this model to price these industries too may be due to the uncertainty about risk factors, as indicated in previous studies of the industry cost of ...
In this study, a sample of 45 companies (16 industries) listed in the Tehran Stock Exchange were selected and research data has been extracted for the period 2002 to 2012. In this study, correlation method was used, and Statistical analysis of data was performed at 95% confidence level, ...