Scholars and investors have been interested in factor models for a long time. This paper builds using the monthly data of A-share market. We construct seven-factor model by adding Hurst exponent momentum to Fama–French five-factor find that there is 7% improvement average R–squared. Then, we compare five machine learning algorithms with ordinary least squares (OLS) one representative stock all ...

This empirical test aims to estimate the beta parameters of risk premium and other factors compare performance single-index model, Fama Frech three five-factor models. The sample used as study object is companies in property real estate subsector with data collected from datastream Thomson Reuters January 2014 December 2018. results are consistent previous studies that asset pricing using Frenc...

The Cognitive Failures Questionnaire (CFQ; Broadbent, Cooper, FitzGerald, & Parkes, 1982) is designed to assess a person’s proneness to committing cognitive slips and errors in the completion of everyday tasks. Although the CFQ is a widely used instrument, its factor structure remains an issue of scientific debate. The present study used data of a representative sample (N = 1,303, 24-83 years o...

The Anatomy of Fluctuations in Book/Market Ratios We analyze trading activity accompanying equities' year-to-year switches from " growth " (low book-to-market ratios) to " value " (high book-to-market ratios), and vice versa. We find that a large book/market ratio increase, i.e., a shift from growth to value, is accompanied by a strongly negative small-trade order imbalance. Large-trade imbalan...

This study empirically tests and compares the performances of three famous financial asset valuation models in Moroccan stock exchange: CAPM, Fama French three-factor model, five-factor model. Our sample considers monthly data covering period July 2002 to June 2020. The main findings reveal that GRS test typically rejects each examined On basis our analysis, we find value effect is more pronoun...

S ize and book-to-market ratios have emerged as the two prominent variables that are significantly related to stock returns. Fama and French [1992] find that stock returns are negatively related to size and positively related to book-to-market ratios. They also find that the relationship between stock returns and beta is not statistically significant. The Fama and French research caps earlier s...

capital asset pricing, as one of the basic theories in finance and investment area, develop a model for estimation of expected rate of return and equity cost of capital. this model has many applications in the field of finance. one of anomalies in the capital asset pricing model is the value premium that its proponents believe this risk premium is compensation for a risk not mentioned in origin...