Log in

Relevant bibliographies by topics / Carhart's four-factor model / Journal articles

To see the other types of publications on this topic, follow the link: Carhart's four-factor model.

Journal articles on the topic 'Carhart's four-factor model'

Author: Grafiati

Published: 4 June 2021

Last updated: 6 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 50 journal articles for your research on the topic 'Carhart's four-factor model.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse journal articles on a wide variety of disciplines and organise your bibliography correctly.

1

Mohanty, Sunil K., and Mohan Nandha. "Oil Shocks and Equity Returns: An Empirical Analysis of the US Transportation Sector." Review of Pacific Basin Financial Markets and Policies 14, no. 01 (2011): 101–28. http://dx.doi.org/10.1142/s0219091511002159.

Full text

Abstract:

The main purpose of this paper is to investigate the relation between oil price movements and stock returns in US transportation companies. We estimate oil price risk exposures of the US oil transport sector at the firm level as well as at the industry level over November 1999 to February 2008 period using the Fama–French–Carhart's (1997) four-factor asset pricing model augmented with oil price and interest rate factors. Overall, the results of our study suggest that oil price exposures of firms in the US transportation sector vary across firms and over time. The varying effects of oil shocks

APA, Harvard, Vancouver, ISO, and other styles

2

Sehgal, Sanjay, and Sonal Babbar. "Evaluating alternative performance benchmarks for Indian mutual fund industry." Journal of Advances in Management Research 14, no. 2 (2017): 222–50. http://dx.doi.org/10.1108/jamr-04-2016-0028.

Full text

Abstract:

Purpose The purpose of this paper is to perform a relative assessment of performance benchmarks based on alternative asset pricing models to evaluate performance of mutual funds and suggest the best approach in Indian context. Design/methodology/approach Sample of 237 open-ended Indian equity (growth) schemes from April 2003 to March 2013 is used. Both unconditional and conditional versions of eight performance models are employed, namely, Jensen (1968) measure, three-moment asset pricing model, four-moment asset pricing model, Fama and French (1993) three-factor model, Carhart (1997) four-fac

APA, Harvard, Vancouver, ISO, and other styles

3

Khan, Muhammad Saifuddin, and Md Miad Uddin Fahim. "THE FOUR-FACTOR MODEL AND STOCK RETURNS IN BANGLADESH." International Journal of Accounting & Finance Review 6, no. 2 (2021): 133–49. http://dx.doi.org/10.46281/ijafr.v6i2.1122.

Full text

Abstract:

For determining the expected return, and asset pricing, CAPM (Capital asset pricing model) is being used dominantly grounded on only the market (systematic) risk-factor though several anomalies have been revealed in this model. Fama and French (1993) have addressed those anomalies and developed the Three-factor model by combining size and value factors besides market factors. Over time, Carhart (1997) has further developed a model addressing momentum factor besides the three factors of Fama and French (1993) which is known as the Carhart four-factor model. Though several kinds of research have

APA, Harvard, Vancouver, ISO, and other styles

4

Boamah, Nicholas Addai. "Robustness of the Carhart four-factor and the Fama-French three-factor models on the South African stock market." Review of Accounting and Finance 14, no. 4 (2015): 413–30. http://dx.doi.org/10.1108/raf-01-2015-0009.

Full text

Abstract:

Purpose – The purpose of this study is to explore the applicability of the Fama–French and Carhart models on the South African stock market (SASM). It examines the ability of the models to capture size, book-to-market (BM) and momentum effects on the SASM. The paper, additionally, explores the ability of the Fama–French–Carhart factors to predict the future growth of the South African economy. Design/methodology/approach – The paper relies on data of 848 firms from January 1996 to April 2012 to examine the size, BM and momentum effects on the SASM. The paper constructs the test assets from a 3

APA, Harvard, Vancouver, ISO, and other styles

5

Kiymaz, Halil. "Factors influencing SRI fund performance." Journal of Capital Markets Studies 3, no. 1 (2019): 68–81. http://dx.doi.org/10.1108/jcms-04-2019-0016.

Full text

Abstract:

Purpose The purpose of this paper is to examine socially responsible investment (SRI) fund performance and investigate the factors influencing fund performance. Design/methodology/approach The study uses return data from the Morningstar database for 152 SRI funds from January 1995 to May 2015. The initial analysis includes the use of various risk-adjusted performance measures, including Sharpe ratio, Treynor ratio, Information ratio, Sortino ratio and M2. The study also uses four factor models, including Jensen single-factor model, Fama–French three-factor model, Carhart four-factor model and

APA, Harvard, Vancouver, ISO, and other styles

6

Pandey, Asheesh, Sanjay Sehgal, Amiya Kumar Mohapatra, and Pradeepta Kumar Samanta. "Equity market anomalies in major European economies." Investment Management and Financial Innovations 18, no. 2 (2021): 245–60. http://dx.doi.org/10.21511/imfi.18(2).2021.20.

Full text

Abstract:

This paper investigates five leading equity market anomalies – size, value, momentum, profitability, and asset growth, for four Western European markets, namely, Germany, France, Italy and Spain, from January 2002 to March 2018. The study tests whether these anomalies reverse under different macro-economic uncertainty conditions, and evaluates if strategies based on time diversification can be formed using these equity market anomalies. Market anomalies were tested using four major asset pricing models – the Capital Asset Pricing Model, the Fama-French three-factor model, the Carhart model, an

APA, Harvard, Vancouver, ISO, and other styles

7

Hassan, Abul, Abdelkader Chachi, and Mahfuzur Rahman Munshi. "Performance measurement of Islamic mutual funds using DEA method." Journal of Islamic Accounting and Business Research 11, no. 8 (2020): 1481–96. http://dx.doi.org/10.1108/jiabr-04-2018-0053.

Full text

Abstract:

Purpose The purpose of this study is to update the investment literature by providing latest evidence of performance of Islamic mutual funds by using global sample mutual funds data to support with empirical facts. Design/methodology/approach This study analyzes the comparative performance of Islamic and conventional mutual funds by using capital asset pricing model, Fama & French’s three-factor model and Carhart’s four-factor model. Further, the study tested the coskenwness effect by using data envelopment analysis approach. Findings The authors find evidence that when size of the funds i

APA, Harvard, Vancouver, ISO, and other styles

8

Candika, Yossy Imam. "TESTING THE EFFECTIVENESS OF THE CARHART MODEL FOUR FACTORS ON EXCESS RETURNS IN INDONESIA." TIJAB (The International Journal of Applied Business) 1, no. 1 (2019): 60. http://dx.doi.org/10.20473/tijab.v1.i1.2017.60-74.

Full text

Abstract:

One crucial information for investor in making their investment decision is to estimate asset-pricing level. The basic principle would be high risk, high return. This research is using Carhart model (1997): market return, size, book to market, and momentum. The goal of this research is to test and analyze the influence of Carhart Four Factor Model toward Indonesian stock' excess return. Dependent variable used in this research is stock' excess return, while independent variable used are Carhart four factor model. Population used is all non-financial firms listed in Bursa Efek Indonesia from ye

APA, Harvard, Vancouver, ISO, and other styles

9

Mahmud, Delvira. "Testing the Four Factors of the Carhart Model Against Excess Return of Shares in Companies Registered in the Kompas 100 Index for the 2014-2016 Period." Jambura Science of Management 1, no. 1 (2019): 16–20. http://dx.doi.org/10.37479/jsm.v1i1.1983.

Full text

Abstract:

The researcher intends to test the four carhart factor model of stock excess return in companies incorporated in Kompas 100 for the 2014-2016 period. Regression analysis was performed on four carhart factor models, namely market returns, firm size, book to market, and momentum towards excess return. The results of this study indicate that in the partial hypothesis testing market return, firm size, and book to market equty variables significantly influence the excess return, while the momentum variable does not significantly influence the magnitude of excess return.Keywords: Four factors, marke

APA, Harvard, Vancouver, ISO, and other styles

10

Costa, Bruce A., Keith Jakob, Scott J. Niblock, and Elisabeth Sinnewe. "Australian Stock Indexes and the Four-Factor Model." Applied Finance Letters 3, no. 1 (2014): 10. http://dx.doi.org/10.24135/afl.v3i1.17.

Full text

Abstract:

Stock indexes are passive ‘value-weighted’ portfolios and should not have alphas which are significantly different from zero. If an index produces an insignificant alpha, then significant alphas for equity funds using this index can be attributed solely to manager performance. However, recent literature suggests that US stock indexes can demonstrate significant alphas, which ultimately raise questions regarding equity fund manager performance in both the US and abroad. In this paper, we employ the Carhart four-factor model and newly available Asian-Pacific risk factors to generate alphas and r

APA, Harvard, Vancouver, ISO, and other styles

11

Machado, Márcio André Veras, and Otávio Ribeiro de Medeiros. "Modelos de Precificação de Ativos e o Efeito Liquidez: Evidências Empíricas no Mercado Acionário Brasileiro." Brazilian Review of Finance 9, no. 3 (2011): 383. http://dx.doi.org/10.12660/rbfin.v9n3.2011.2862.

Full text

Abstract:

This paper is aims to analyze whether a liquidity premium exists in the Brazilian stock market. As a second goal, we include liquidity as an extra risk factor in asset pricing models and test whether this factor is priced and whether stock returns were explained not only by systematic risk, as proposed by the CAPM, by Fama and French’s (1993) three-factor model, and by Carhart’s (1997) momentum-factor model, but also by liquidity, as suggested by Amihud and Mendelson (1986). To achieve this, we used stock portfolios and five measures of liquidity. Among the asset pricing models tested, the CAP

APA, Harvard, Vancouver, ISO, and other styles

12

Abeysekera, Amal Peter, and Nimal Pulukkuttige Don. "The Impact of the Financial Sector on Asset Pricing Tests: Evidence from the Colombo Stock Exchange." Asian Journal of Finance & Accounting 8, no. 2 (2016): 113. http://dx.doi.org/10.5296/ajfa.v8i2.10056.

Full text

Abstract:

<p>This paper aims to identify how the inclusion of financial sector affects the ability of asset pricing models to explain the average stock returns in the CSE. Most of the asset pricing researches, the firms in the financial sector are excluded on the basis that their characteristics and the leverage are notably different than firms in other industries. Therefore the objective of this study is to identify the impact of the inclusion of financial sector on the ability of the Carhart four-factor model to explain the average stock returns in the CSE and to compare its performance with the

APA, Harvard, Vancouver, ISO, and other styles

13

Molele, Mashukudu Hartley, and Janine Mukuddem-Petersen. "Emerging market currency risk exposure: evidence from South Africa." Journal of Risk Finance 21, no. 2 (2020): 159–79. http://dx.doi.org/10.1108/jrf-07-2019-0123.

Full text

Abstract:

Purpose The purpose of this paper is to examine the level of foreign exchange exposure of listed nonfinancial firms in South Africa. The study spans the period January 2002 and November 2015. Foreign exchange risk exposure is estimated in relation to the exchange rate of the South African Rand relative to the US$, the Euro, the British Pound and the trade-weighted exchange rate index. Design/methodology/approach The study is based on the augmented-market model of Jorion (1990). The Jorion (1990) is a capital asset pricing model-inspired framework which models share returns as a function of the

APA, Harvard, Vancouver, ISO, and other styles

14

Moon, Gisung, Hongbok Lee, and Doug Waggle. "Long-run equity performance of firms that restate financial statements." Managerial Finance 46, no. 1 (2019): 92–108. http://dx.doi.org/10.1108/mf-05-2019-0247.

Full text

Abstract:

Purpose The authors investigate how the stock market reacts to financial restatements using the restatements data from the United States Government Accountability Office (GAO-06-678). In particular, the purpose of this paper is to examine the long-run equity performance of the restating firms, for holding periods of one to five years after the announcements of restatements. Design/methodology/approach This paper measures the long-run stock performance of restating firms with the buy-and-hold abnormal returns and time-series regression analyses based on Fama–French’s (1993) three-factor model a

APA, Harvard, Vancouver, ISO, and other styles

15

옥영경 and 김정무. "Idiosyncratic Volatility and Cross-Section of Expected Returns: Using the Carhart(1997) four-factor model." Journal of Insurance and Finance 29, no. 1 (2018): 63–92. http://dx.doi.org/10.23842/jif.2018.29.1.003.

Full text

APA, Harvard, Vancouver, ISO, and other styles

16

Rath, Subhrendu, and Robert B. Durand. "Decomposing the size, value and momentum premia of the Fama–French–Carhart four-factor model." Economics Letters 132 (July 2015): 139–41. http://dx.doi.org/10.1016/j.econlet.2015.05.003.

Full text

APA, Harvard, Vancouver, ISO, and other styles

17

M. Sembiring, Ferikawita, and . "How Well the Implementation of Carhart Model in Market Overreaction Condition? Evidence in Indonesia Stock Exchange." International Journal of Engineering & Technology 7, no. 4.38 (2018): 928. http://dx.doi.org/10.14419/ijet.v7i4.38.27611.

Full text

Abstract:

This study aims to determine an ability of the four-factor model of Carhart in explaining the portfolio returns formed in condition of market overreaction. The four-factor model is basically a model proposed by Fama and French and then developed by Carhart which adds price momentum factor into the model. While market overreaction is a market condition caused by excessive reactions from investors when receiving information. The portfolios used are the winner and loser formed based on the returns of each portfolio to the average of the returns. Both portfolio consist are the stocks of non-financ

APA, Harvard, Vancouver, ISO, and other styles

18

Arouri, Mohamed, and Frederic Teulon. "Persistence Of Performance Using The Four-Factor Pricing Model: Evidence From Dow Jones Islamic Index." Journal of Applied Business Research (JABR) 30, no. 3 (2014): 917. http://dx.doi.org/10.19030/jabr.v30i3.8577.

Full text

Abstract:

Despite the increasing attention to ethical investments, the empirical studies on Islamic indices are scarce. The main goal of this article is to investigate whether Dow Jones Islamic Index 100 Titans (DJI100) delivers persistent performance. Using the Carhart (1997) four-factor model, we consider all historical data available from the launching of the index by Dow Jones on September 1999 to March 2011. We study all the firms included in the index and we construct the risk factors (Market premium, size, Book-to-Market, momentum). Our findings show positive performance for momentum strategy and

APA, Harvard, Vancouver, ISO, and other styles

19

Que, Tingting, Wai Yin Mok, and Kit Yee Cheung. "Testing Multi-Factor Models in ADRs: Emerging Market vs. Developed Market." International Journal of Accounting & Finance Review 5, no. 1 (2020): 12–21. http://dx.doi.org/10.46281/ijafr.v5i1.486.

Full text

Abstract:

This paper tests whether the Carhart four-factor model and the Fama-French five-factor model can explain variation in returns of 1,230 ADRs originating from six developed markets and five emerging markets. We aim to compare emerging market ADRs with developed market ADRs in terms of traditional risk factors significance, model fitness and the existence of abnormal returns. Overall, we find that substantial variations exist among ADRs by their origin-of-market. First, both models show that most of the positive abnormal returns we document accrue to emerging market ADRs, mainly Chinese ADRs. Amo

APA, Harvard, Vancouver, ISO, and other styles

20

Shaker, Mohamed A., and Marwan M. Abdeldayem. "Examining asset pricing models in emerging markets: Evidence from Egypt." Corporate Ownership and Control 16, no. 1 (2018): 50–57. http://dx.doi.org/10.22495/cocv16i1art6.

Full text

Abstract:

The study aims at executing five tantamount asset pricing models in Egypt, in particular: 1) “the CAPM”, 2) “the Fama-French three-factor model (1993)”, 3) “the Carhart model (1997)”, 4) “the four-factor model of Chan and Faff (2005)”, and 5) “the five-factor model (Liquidity and Momentum-Augmented Fama-French three factor model)”. This research effort pursues Fama-French arranging approach in view of the size and Book-to-Market proportion (B-M ratio) for 55 securities out of the most 100 stocks in the Egyptian Stock Exchange (EGX) over a five years’ time period. We utilized “the time series r

APA, Harvard, Vancouver, ISO, and other styles

21

Surono, Yunan, Akhmad Irwansyah Siregar, and R. Adisetiawan. "Perspektif Asset Pricing Model dan Pengembangannya Pada Pasar Modal Indonesia." Eksis: Jurnal Ilmiah Ekonomi dan Bisnis 11, no. 1 (2020): 25. http://dx.doi.org/10.33087/eksis.v11i1.194.

Full text

Abstract:

Every investor will pay attention to return and risk in investing in portfolios. In portfolio investment, this is known as the principle of high return high risk. To see this return and risk, 4 (four) models are known, namely 1) Capital Asset Pricing Model (CAPM) with beta factors (market risk), 2) French Fama models with beta, size and value factors, 3) Carhart model with factors beta, size, value and momentum, 4) the Arbitrage Pricing Theory (APT) model in this study, in addition to factors such as the model above, macro economic factors include economic growth, inflation, interest rates, th

APA, Harvard, Vancouver, ISO, and other styles

22

Richey, Greg. "Fewer reasons to sin: a five-factor investigation of vice stock returns." Managerial Finance 43, no. 9 (2017): 1016–33. http://dx.doi.org/10.1108/mf-09-2016-0268.

Full text

Abstract:

Purpose The purpose of this paper is to investigate the return performance of a portfolio of US “vice stocks,” firms that manufacture and sell products such as alcohol, tobacco, gaming services, national defense and firearms, adult entertainment, and payday lenders. Design/methodology/approach Using daily return data from a portfolio of vice stocks over the period 1987-2016, the author computes the Jensen’s α (capital asset pricing model (CAPM)), Fama-French Three-Factor, Carhart Four-Factor, and Fama-French Five-Factor results for the complete portfolio, and each vice industry individually. F

APA, Harvard, Vancouver, ISO, and other styles

23

Misra, Dheeraj, Sushma Vishnani, and Ankit Mehrotra. "Four-moment CAPM Model: Evidence from the Indian Stock Market." Journal of Emerging Market Finance 18, no. 1_suppl (2019): S137—S166. http://dx.doi.org/10.1177/0972652719831564.

Full text

Abstract:

This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns of the Indian stock. However, the impact of co-skewness is higher than co-kurtosis. JEL Classification: G11, G12

APA, Harvard, Vancouver, ISO, and other styles

24

Zaremba, Adam, and Przemysław Konieczka. "Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?" International Journal of Management and Economics 53, no. 3 (2017): 26–47. http://dx.doi.org/10.1515/ijme-2017-0017.

Full text

Abstract:

Abstract This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart four-factor models on the Polish market. We use stock level data from April 2001 to January 2014 and find strong evidence for value and momentum effects, but only weak evidence for size premium. We formed portfolios double-sorted on size and book-to-market ratios, as well as on size and momentum, and we explain their returns with the above-mentioned asset pricing models. The CAPM is rejected and the three-factor and four-factor models perform well for the size and B/

APA, Harvard, Vancouver, ISO, and other styles

25

So, Simon M. S. "Who is King in Factor Zoo? Case of the Chinese Stock Market." Journal of Prediction Markets 14, no. 2 (2020): 77–102. http://dx.doi.org/10.5750/jpm.v14i2.1821.

Full text

Abstract:

This paper aimed to evaluate and compare individual performances and contributions of seven well-known factors, selected from four widely cited asset pricing models: (1) the capital asset pricing model of Sharpe (1964), (2) the three-factor model of Fama and French (1993) the augmented four-factor model of Carhart (1997), (3) the five-factor model of Fama and French (2015), and (4) the illiquidity model of Amihud, et al. (2015) in capturing the time-series variation of stock returns and absorbing the 12 prominent anomalies. The anomalies were constructed by forming long-short portfolios, and r

APA, Harvard, Vancouver, ISO, and other styles

26

Momani, Mohammad Q. M. "On the robustness of the Fama-French three-factor and the Carhart four-factor models on the Amman Stock Exchange." Afro-Asian J. of Finance and Accounting 11, no. 1 (2021): 64. http://dx.doi.org/10.1504/aajfa.2021.10033825.

Full text

APA, Harvard, Vancouver, ISO, and other styles

27

Momani, Mohammad Q. M. "On the robustness of the Fama-French three-factor and the Carhart four-factor models on the Amman Stock Exchange." Afro-Asian J. of Finance and Accounting 11, no. 1 (2021): 64. http://dx.doi.org/10.1504/aajfa.2021.111808.

Full text

APA, Harvard, Vancouver, ISO, and other styles

28

Dash, Saumya Ranjan, and Jitendra Mahakud. "Market anomalies, asset pricing models, and stock returns: evidence from the Indian stock market." Journal of Asia Business Studies 9, no. 3 (2015): 306–28. http://dx.doi.org/10.1108/jabs-06-2014-0040.

Full text

Abstract:

Purpose – This paper aims to investigate whether the use of conditional and unconditional Fama and French (1993) three-factor and Carhart (1997) four-factor asset pricing models (APMs) captures the role of asset pricing anomalies in the context of emerging stock market like India. Design/methodology/approach – The first step time series regression approach has been used to drive the risk-adjusted returns of individual securities. For examining the predictability of firm characteristics or asset pricing anomalies on the risk-adjusted returns of individual securities, the panel data estimation t

APA, Harvard, Vancouver, ISO, and other styles

29

Bortoluzzo, Adriana Bruscato, Maria Kelly Venezuela, Maurício Mesquita Bortoluzzo, and Wilson Toshiro Nakamura. "The influence of the 2008 financial crisis on the predictiveness of risky asset pricing models in Brazil." Revista Contabilidade & Finanças 27, no. 72 (2016): 408–20. http://dx.doi.org/10.1590/1808-057x201603220.

Full text

Abstract:

ABSTRACT This article examines three models for pricing risky assets, the capital asset pricing model (CAPM) from Sharpe and Lintner, the three factor model from Fama and French, and the four factor model from Carhart, in the Brazilian mark et for the period from 2002 to 2013. The data is composed of shares traded on the São Paulo Stock, Commodities, and Futures Exchange (BM&FBOVESPA) on a monthly basis, excluding financial sector shares, those with negative net equity, and those without consecutive monthly quotations. The proxy for market return is the Brazil Index (IBrX) and for riskless

APA, Harvard, Vancouver, ISO, and other styles

30

Koo, Bonha, and Joon Chae. "Dividend month premium in the Korean stock market." Journal of Derivatives and Quantitative Studies: 선물연구 28, no. 2 (2020): 77–104. http://dx.doi.org/10.1108/jdqs-04-2020-0006.

Full text

Abstract:

The dividend month premium is the phenomenon that firms have abnormal returns in predicted dividend month. This study aims to examine the dividend month premium in the Korean stock market, using common stocks listed on the KOSPI and KOSDAQ from January 1999 to December 2016. Abnormal returns are estimated using the following asset price models: capital asset pricing model, Fama–French three-factor model and the Fama–French–Carhart four-factor model. This study finds positive abnormal returns in predicted dividend months, and even for the within-firm portfolio that buys stocks in the predicted

APA, Harvard, Vancouver, ISO, and other styles

31

Paul, Karen. "The effect of business cycle, market return and momentum on financial performance of socially responsible investing mutual funds." Social Responsibility Journal 13, no. 3 (2017): 513–28. http://dx.doi.org/10.1108/srj-09-2016-0154.

Full text

Abstract:

Purpose This study examines the effect of business cycle, market return and momentum on the financial performance of socially responsible investing (SRI) mutual funds using data from two complete business cycles as defined by the National Bureau of Economic Research (NBER). Design/methodology/approach A “fund of funds” approach is used to identify the extent to which SRI financial performance is affected by the macroeconomic climate. The Fama-French Three-Factor model and the Carhart four-factor model are used to bring the results into alignment with commonly used finance methodologies. Findin

APA, Harvard, Vancouver, ISO, and other styles

32

Papík, Mário, and Lenka Papíková. "COMPREHENSIVE ANALYSIS OF REGULATORY IMPACTS ON PERFORMANCE OF SLOVAK PENSION FUNDS." Journal of Business Economics and Management 22, no. 3 (2021): 735–56. http://dx.doi.org/10.3846/jbem.2021.14481.

Full text

Abstract:

Standard pay-as-you-go pension system is facing long-term and short-term sustainability challenges in several countries. Possible replacement of standard pension system might be in a form of private pension savings. Private pension savings are meaningful only if they provide sufficiently high returns. The aim of this manuscript is to analyse performance of Slovak pension funds and factors impacting this performance, especially government interventions. This manuscript is focused on enhanced Carhart four-factor model, Bollen and Busse four-factor model, and Fama and French five-factor model bas

APA, Harvard, Vancouver, ISO, and other styles

33

Asad, Humaira, and Faraz Khalid Cheema. "An Empirical Assessment of the Q-Factor Model: Evidence from the Karachi Stock Exchange." LAHORE JOURNAL OF ECONOMICS 22, no. 2 (2017): 117–38. http://dx.doi.org/10.35536/lje.2017.v22.i2.a5.

Full text

Abstract:

This paper tests the validity of the q-factor model on stocks listed on the Karachi Stock Exchange in Pakistan. The q-factor model is an investment-based factor model that explains stock returns based on market, profitability, investment and size factors and it tends to outperform the traditional CAPM, the Fama and French (1993) three-factor model and Carhart (1997) four-factor model, with some exceptions. While the model has been tested using data from stock markets in developed countries, the dynamics of emerging stock markets are significantly different, warranting a reapplication of the mo

APA, Harvard, Vancouver, ISO, and other styles

34

Fieberg, Christian, Thorsten Poddig, and Armin Varmaz. "An investor’s perspective on risk-models and characteristic-models." Journal of Risk Finance 17, no. 3 (2016): 262–76. http://dx.doi.org/10.1108/jrf-02-2016-0026.

Full text

Abstract:

Purpose In capital markets, research risk factor loadings and characteristics are considered as opposing explanations for the cross-sectional dispersion in average stock returns. However, there is little known about the performance an investor would obtain who believes either in the characteristics explanation (CB-investor) or in the risk factor loadings explanation (RB-investor). The purpose of this paper is to compare the performance of CB- and RB-investors. Design/methodology/approach To compare the competing strategies, the authors propose a simple new approach to equity portfolio optimiza

APA, Harvard, Vancouver, ISO, and other styles

35

Foye, James. "A new perspective on the size, value, and momentum effects." Review of Accounting and Finance 15, no. 2 (2016): 222–51. http://dx.doi.org/10.1108/raf-05-2015-0065.

Full text

Abstract:

Purpose This paper aims to provide a comprehensive analysis of whether stock returns in Europe are best characterized by country-specific or Europe-wide versions of widely used factor models. Design/methodology/approach To estimate the cost of equity in Europe, both region-wide and nationally, the Fama and French (2012) three-factor and Carhart (1997) four-factor models are used. Findings The results show that although the value and momentum premiums are present on a Europe-wide basis, the size premium is country-specific. Originality/value The paper offers an explanation to the puzzle of why

APA, Harvard, Vancouver, ISO, and other styles

36

Hossan, Mohammad Akter, and Mohammad Joynal Abedin. "Factors of Stock Return and Carhart Model: The Case of Dhaka Stock Exchange (DSE) of Bangladesh." International Journal of Economics and Finance 11, no. 6 (2019): 14. http://dx.doi.org/10.5539/ijef.v11n6p14.

Full text

Abstract:

The objective of this study is to find factors of stock return by testing validity of Carhart model in Dhaka Stock Exchange (DSE) of Bangladesh. For this purpose, this study uses monthly excess return of portfolios, size, book-to-market value, market return, and price momentum data of 109 sample firms to calculate return factors such as market risk premium, size premium (SMB), value premium (HML), and momentum effect (UMD) for the sample period of 2005 to 2014. Then a total of ten portfolios, six based on size and book-to-market value and four based on size and price momentum, are constructed

APA, Harvard, Vancouver, ISO, and other styles

37

Lawson, Daniel T., and Robert L. Schwartz. "Do Hedge Funds Arbitrage on Asset Growth, Earnings Momentum and Equity Financing Anomalies?" International Journal of Economics and Finance 10, no. 9 (2018): 38. http://dx.doi.org/10.5539/ijef.v10n9p38.

Full text

Abstract:

This paper analyzes the risk-adjusted performance of hedge funds and their overall ability to arbitrage on known market anomalies. This is done by testing three anomaly factors capturing total asset growth, equity financing, and earnings momentum in addition to the traditional Fama and French (1993) and Carhart (1997) four-factor model and Fung and Hsieh (2001) risk factors. Our results suggest that the average hedge fund employs a strategy consistent with the total asset growth and earnings momentum anomalies but contradictory to the equity financing anomaly of Hirshleifer and Jiang (2007). M

APA, Harvard, Vancouver, ISO, and other styles

38

Chen, Yifan, Zilin Chen, and Huoqing Tang. "High-order moments in stock pricing: evidence from the Chinese and US markets." China Finance Review International 10, no. 3 (2019): 323–46. http://dx.doi.org/10.1108/cfri-06-2019-0070.

Full text

Abstract:

Purpose The purpose of this paper is to introduce an augmented high-order capital asset pricing model (AH-CAPM) as a new risk-based model to price stocks. Design/methodology/approach The AH-CAPM is defined as a linear model with high-order marginal moments and co-moments from the joint distributions of the sorted stock portfolio returns and the market return. Findings The performance of the AH-CAPM is tested in the Chinese and US stock markets. Empirical results show that the high-order marginal moments and co-moments from the joint distributions in AH-CAPM contain the risk and return informat

APA, Harvard, Vancouver, ISO, and other styles

39

Hofmann, Daniel, and Karl Ludwig Keiber. "Seasonalities in the German stock market." Financial Markets and Portfolio Management 35, no. 2 (2021): 151–92. http://dx.doi.org/10.1007/s11408-020-00373-1.

Full text

Abstract:

AbstractThis paper suggests innovative investment strategies drawing on return seasonalities. By means of an out-of-sample study of the German stock market, we report that these long–short investment strategies earn on average raw returns up to 233 basis points per month throughout two decades from 1998 to 2017. On a monthly basis, this documents an outperformance of the corresponding Heston and Sadka (J Financ Econ 87(2):418–445, 2008) strategy by 66%. This outperformance is robust in magnitude even after adjusting for common risk factors along both the three-factor Fama and French (J Financ

APA, Harvard, Vancouver, ISO, and other styles

40

Rubanov, Dmitrij, and Matthias Nnadi. "The impact of international financial reporting standards on fund performance." Accounting Research Journal 31, no. 1 (2018): 102–20. http://dx.doi.org/10.1108/arj-01-2017-0020.

Full text

Abstract:

Purpose The purpose of this paper is to examine the effect of international financial reporting standards (IFRS) on the performance of UK investment closed-end trust funds with domestic equity focus using Carhart’s Four-Factor model. Design/methodology/approach The paper is based on the Efficient Market Hypothesis, which argues that all available information is already included in the price of assets, and therefore, investors cannot beat the market or generate abnormal returns. Findings The results show that on average, UK investment trusts neither do generate abnormal returns, nor is their pe

APA, Harvard, Vancouver, ISO, and other styles

41

Tusiime, Ivan Mugarura, and Man Wang. "Are Islamic stocks subject to oil price risk exposure?" Journal of Risk Finance 21, no. 2 (2020): 181–200. http://dx.doi.org/10.1108/jrf-05-2019-0076.

Full text

Abstract:

Purpose The purpose of this paper is to examine whether oil price risk is a significant determinant of stock returns. Design/methodology/approach Using monthly data on a sample of Islamic stocks listed on the New York Stock Exchanges and National Association of Securities Dealers Automated Quotations System (NASDAQ) over the period from January 1990 to December 2017, the study examines whether oil price risk is a significant determinant of stock returns using Fama–French–Carhart’s four-factor asset pricing model amplified with Brent oil price factor. Findings The results from the cross-section

APA, Harvard, Vancouver, ISO, and other styles

42

Kyei-Mensah, Justice. "Stock liquidity, firm size and return persistence around mergers and acquisitions announcement." Investment Management and Financial Innovations 16, no. 2 (2019): 116–27. http://dx.doi.org/10.21511/imfi.16(2).2019.10.

Full text

Abstract:

The paper examines market liquidity and size of 396 US firms engaged in mergers and acquisitions (M&amp;amp;A). The announcement-period returns are estimated using Carhart’s four-factor model and estimated using two regression specifications. The results suggest that the return continuation depends on the degree of liquidity and the firm size. The positive and significant cumulative abnormal returns (CARs) under both the specifications with exception to the acquiring firms are found. Under the generalized autoregressive conditional heteroskedasticity (GARCH) model due to Glosten et al. (19

APA, Harvard, Vancouver, ISO, and other styles

43

Bowes, Jordan, and Marcel Ausloos. "Financial Risk and Better Returns through Smart Beta Exchange-Traded Funds?" Journal of Risk and Financial Management 14, no. 7 (2021): 283. http://dx.doi.org/10.3390/jrfm14070283.

Full text

Abstract:

Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to their supposed ability to offer a better risk–return trade-off than traditionally structured passive indices. Yet, research covering the performance of SB ETFs benchmarked to traditional cap-weighted market indices remains relatively scarce. There is a lack of empirical evidence enforcing this phenomenon. Extending the work of Glushkov (“How Smart are “Smart Beta” ETFs? …”, 2016), we provide a quantitative analysis of the performance of 145 EU-domicile SB ETFs over a 12 year period, from 30 December 2005 t

APA, Harvard, Vancouver, ISO, and other styles

44

Kyei-Mensah, Justice, Chen Su, and Nathan Lael Joseph. "Shareholders wealth and mergers and acquisitions (M&As)." Investment Management and Financial Innovations 14, no. 3 (2017): 15–24. http://dx.doi.org/10.21511/imfi.14(3).2017.02.

Full text

Abstract:

We re-examine the abnormal returns (ARs) around merger announcements using a large sample of 8,945 announcements. We estimate the ARs using the Carhart (1997) four-factor model under the standard ordinary least square (OLS) method and the Glosten et al.’s (1993) asymmetric GARCH specification (hereafter, GJR-GARCH). Under the OLS method, acquirers do not generate significant cumulative ARs (CARs) in line with prior work. Our new results, however, show that under the GJR-GARCH estimation, acquirers generate positive and significant cumulative CARs. We attribute the gains to the use of the GJR-G

APA, Harvard, Vancouver, ISO, and other styles

45

Zhang, Weiwei, Tiezhu Sun, Zilong Wang, Vishnu Raj Kumar, and Yechi Ma. "DOES FAITH HAS IMPACT ON INVESTMENT RETURN: EVIDENCE FROM REITS." International Journal of Strategic Property Management 23, no. 6 (2019): 378–89. http://dx.doi.org/10.3846/ijspm.2019.10428.

Full text

Abstract:

This paper investigates whether faith has impact on investment returns. Specifically, we choose the Shariah compliance and REITs investment for the purpose of investigation. Synthetic Shariah compliant portfolios are constructed with various interpretation of compliance. We compare the performance of Shariah compliant portfolios with US Equity REIT portfolio during 1993–2017 by examining the abnormal returns using CAPM and Carhart four-factor model. We find no evidence of underperformance or outperformance of the Shariah compliant investments. This is also true during the financial crisis peri

APA, Harvard, Vancouver, ISO, and other styles

46

Alam, Mahfooz, and Valeed Ahmad Ansari. "Are Islamic indices a viable investment avenue? An empirical study of Islamic and conventional indices in India." International Journal of Islamic and Middle Eastern Finance and Management 13, no. 3 (2020): 503–18. http://dx.doi.org/10.1108/imefm-03-2019-0121.

Full text

Abstract:

Purpose This study aims to empirically compare the performance of Islamic indices vis-à-vis to their conventional counterparts in India. Design/methodology/approach The performance of the Islamic and selected conventional indices is evaluated using various risk-adjusted performance measures such as Sharpe ratio, Treynor ratio, M-square (M2) ratio, information ratio, capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four-factor model in India context. The period of study is from December 2006 to 2018. Findings The risk-adjusted performance measures based on the Shar

APA, Harvard, Vancouver, ISO, and other styles

47

Mondher, Kouki, Abderrazek Elkhaldi, and Wided Bouani. "Does Financial Crisis Affect the Cost of Equity Estimation? Evidence from the Tunisian Stock Exchange." International Journal of Accounting and Financial Reporting 7, no. 2 (2017): 491. http://dx.doi.org/10.5296/ijafr.v7i2.12304.

Full text

Abstract:

The aim of this paper is to study the impact of the recent financial crisis on equity cost estimation. We use a data of a 22 firms listed in the Tunisian stock market during the period from July 2006 to June 2011. The choice of this period is motivated by the occurrence of the financial crisis of October 2008, which divides the period into two equal sub-periods. In the first stage, we make abstraction to the crisis impact and we run the three specifications of the cost of equity: the CAPM, the Fama -French three factor model and The Carhart four-factor model. Empirical results confirm the expl

APA, Harvard, Vancouver, ISO, and other styles

48

Mahajan, Arvind. "Information content of web-based stock ratings: the case of Motley fool CAPS data." Journal of Advances in Management Research 15, no. 3 (2018): 393–410. http://dx.doi.org/10.1108/jamr-02-2018-0025.

Full text

Abstract:

Purpose The purpose of this paper is to answer a fundamental question – are individual stock picks by a particular internet investment community informative enough to beat the market? The author observes that the stock picks by the CAPS community are reflective of existing information and portfolios based upon CAPS community stock rankings do not generate abnormal returns. The CAPS community is good at tracking existing performance but, it lacks predictive ability. Design/methodology/approach The study uses a unique data set of stock ratings from Motley Fools CAPS community to determine the in

APA, Harvard, Vancouver, ISO, and other styles

49

Yue, Xiao-Guang, Yan Han, Deimante Teresiene, Justina Merkyte, and Wei Liu. "Sustainable Funds’ Performance Evaluation." Sustainability 12, no. 19 (2020): 8034. http://dx.doi.org/10.3390/su12198034.

Full text

Abstract:

The purpose of this research is to consider if the growing popularity of sustainable investment does not create additional risks in investing. Different views on sustainable investments were analyzed to identify different approaches to the main risks. A quantitative analysis was carried out to investigate the possible benefits and advantages of sustainable investment. Without taking into account the social perks of investing in sustainable funds, this study evaluates the performance and economic returns of both sustainable and traditional funds. The research was carried out in two parts by com

APA, Harvard, Vancouver, ISO, and other styles

50

Peltomäki, Jarkko. "Investment styles and the multifactor analysis of market timing skill." International Journal of Managerial Finance 13, no. 1 (2017): 21–35. http://dx.doi.org/10.1108/ijmf-04-2015-0095.

Full text

Abstract:

Purpose The purpose of this paper is to present and demonstrate how the use of a multifactor model in the analysis of market timing skill can be misleading because the use of a multifactor model does not suit all investment styles equally well. If the factors of the analysis model do not span the portfolio holdings of a fund with less conventional investment strategy, the use of a multifactor model may even deteriorate the overall inference in measuring the market timing skill of a large sample of funds. Design/methodology/approach This study investigates the limitations of multifactor models

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!