Article history: Received 6 September 2011 Accepted 13 February 2012 Available online 8 March 2012 A number of recent papers have developed multifactor extensions of the classic consumption capital asset pricing model (CCAPM) and generally concluded that conditioning information improves the empirical performance. This paper asks whether the superior empirical performance of the multifactor CCA...

This paper takes the listed companies in US stock market from July 1993 to October 2021 as a sample compare predictive ability of three-factor model and five-factor model. The main conclusions are follows: Firstly, correlation between factors three factor five is not significant. Second, using test profitability effect investment style effect, it found that there still significant after adjustm...

One of the main concerns of investors is the evaluation of the return on investment, which is conducted using various models such as the CAPM (single-factor model), Fama-French three/five-factor models, and Roy and Shijin’s six-factor model and other models known as multi-factor models. Despite the widespread use of these models, their major drawbacks include sensitivity to unexpected changes, ...

a r t i c l e i n f o I propose a new multi-factor asset pricing model with new-Keynesian factors to explain stock return anomalies from 1972Q1 to 2009Q2. This new model explains the average returns across testing portfolios formed on financial distress, momentum, and standardized unexpected earnings with misspecification-robust statistics. Test portfolios formed on net stock issues and total a...

Characterizing the instantaneous investment opportunity set by the real interest rate and the maximum Sharpe ratio, a simple model of time varying investment opportunities is posited in which these two variables follow correlated Ornstein-Uhlenbeck processes, and the implications for stock and bond valuation are developed. The model suggests that the prices of certain portfolios that are relate...

Resumen Background: The Work-Family Culture Scale (WFCS) was designed to assess employee perceptions of the extent to which their organizations facilitates a work-family balance. The WFCS comprises three dimensions: Oorganizational time demands, Managerial support and Negative career consequences. Method: The primary purpose of the present study was to analyze the factor structure and reliabili...

In allusion to some contradicting results in existing research, this paper selects China's latest stock data from 2005 2020 for empirical analysis. paper, the redundant factors (HML, CMA) are orthogonalized, and regression analysis of 5*5 portfolio Size-B/M Size-Inv is carried out with these two orthogonalized factors. It found that HML CMA still significant many portfolios, indicating they hav...