共查询到8条相似文献，搜索用时 0 毫秒
1.
Fama and French (FF, 2015) propose a five-factor asset pricing model that captures size, value, profitability and investment patterns. The primary purpose here is to further investigate this new model using an improved GMM-based robust instrumental variables technique. A further purpose is to explore the relationship among the FF factors and the Pástor–Stambaugh (PS, 2003) liquidity factor. We conclude that except for the market factor, all of the factors including liquidity are not significant at even the 5% level using our GMM approach for almost all of the FF 12 sectors. 相似文献
2.
Lai Trung Hoang Trang Thu Phan 《Economic Papers: A journal of applied economics and policy》2019,38(3):193-207
This study examines whether liquidity is priced in the Vietnamese stock market. We show that stock liquidity is an important factor that should be taken into consideration in pricing stock returns. Explaining power of asset pricing models is improved after the inclusion of liquidity factor. In addition, while Fama and French's (1993) three factors are significant in the Vietnamese stock market, Carhart's (1997) momentum factor has very little effect. We also document that among various competing asset pricing models, the liquidity four‐factor model which includes market excess return, size, value and liquidity factor is the best model in the Vietnamese stock market. The results are robust to different measures of liquidity, as well as to both up‐ and down‐market conditions. 相似文献
3.
In this article, we study the performance of a smoothing spline method in estimating and testing for constant betas in two well-known asset pricing models, the usual market model and the three-factor model. The spline estimator is computed taking into account the conditional heteroscedasticity of the errors. Using the right model and estimation procedure for the variance term plays a crucial role in gaining efficiency in beta estimators. A simulation study shows the good performance of our method; in all the scenarios simulated, it outperforms the benchmark rolling estimator. The method enables users to obtain confidence intervals and to test for the significance and constancy of betas. Finally, the method is applied to US data, comprising 25 portfolios formed based on size and the ratio of book equity to market equity. The results show that the time-variability of the betas plays an important role, mainly when sensitivity to the HML factor is considered. 相似文献
4.
The Fama–French three-factor model (1993) has been extensively used to study the pricing of nonfinancial stocks. This study provides the first examination of the pricing of Australian financial stocks using the Fama–French framework. The four-factor model (market, size, book-to-market and momentum) augmented with the level, slope and curvature of the interest rate term structure is used to examine the pricing of Australian financial stocks. The interest rate factors have not been previously considered for pricing Australian stocks within the Fama–French framework. Consistent with US evidence, we use a system-based estimation to show that the size and book-to-market factors are not priced in the cross section of the equity returns of Australian financial stocks. Momentum and term spread are priced in the equity returns of both financial and nonfinancial stocks. These findings are robust to the inclusion of control variables such as default spread, the inflation rate and a dummy variable for the global financial crisis. 相似文献
5.
We examine whether the Fama and French (1992) (F&F) model can be adapted to become a more versatile and flexible tool, capable of incorporating variations of company characteristics in a more dynamic form. For this, the risk factors are reconstructed at the end of each reading of monthly data. We argue that, over time, the evaluation of a company may change as a result of variations in its market price, size or book price, and we are aware that the F&F model does not accurately reflect these dynamics. Our results show that the adapted model is able to capture the behaviour of a greater number of stocks than the original F&F model and risk factors are more significant when building them through our procedure. In addition, we carry out these adaptations during a period of instability in financial markets. 相似文献
6.
本文采用动态模型平均（dynamic model averaging,DMA）算法对法玛—弗兰奇五因子模型（Fama French five factor model,FF5模型）进行了系统性研究。基于法玛和弗兰奇（Fama and French）的数据,笔者所进行的实证分析表明：资产定价模型因子对投资组合收益的预测能力和系数是随时间动态变化的;不存在固定的因子模型能够同时解释和预测多种投资组合的收益;在对投资组合收益率进行预测时,DMA算法的预测均方误差（mean square error,MSE）显著低于固定系数的FF5模型。 相似文献
7.
Duc Hong Vo 《Economic Papers: A journal of applied economics and policy》2015,34(4):290-301
Various empirical studies on the application of the Fama French three‐factor model have been attempted and the conclusions are mixed on which factors from the model are priced in the Australian context. Different approaches to portfolio formations have been adopted in different studies. This empirical study is conducted to examine the robustness of the estimates under various approaches to portfolio formation and to provide additional evidence on the debate of the “relevance” of the Fama French three‐factor model in Australian regulatory decisions. Using the Fama and MacBeth (1973)'s two‐stage cross‐sectional regression technique on the period of five years, the standard Australian regulatory cycle, from July 2009 to May 2014, the findings from this study are mixed. It is argued that while the application of the Fama French three‐factor model is interesting for research endeavour, the adoption of this model into public policy is problematic and as such, not recommended. 相似文献
8.
This paper shows that asset prices are linear polynomials of various underlying explanatory factors and asset returns being ratios of these polynomials, are rational functions that do not add linearly when averaging. Hence, average returns should be modeled based on stock prices. However, continuous returns may be treated as approximately linear across time and modeled directly. Our new Rational Function (RF) models, empirically outperform the traditional asset pricing models like the Capital Asset Pricing Model (CAPM) and the Fama–French three and five-factor models for both average and continuous returns. Moreover, the RF theory also provides a model to estimate the asset volumes. The average change in asset volumes together with average returns provide the estimates for average change in market values of assets. Thus, the RF model approach can be used to select assets that provide either highest returns for profit maximization or highest change in market values for wealth maximization for given levels of risk. 相似文献