Multifactor asset pricing models evolved at an accelerated pace in the past few years after publication of Fama and French five-factor model. Despite results from developed markets which arguably make sixth momentum factor redundant, authors showed this study that emerging market, e.g. Warsaw Stock Exchange, (persistence returns) is still a major factor. The data covers period 2010-2018 on mont...

The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model. We build a multi-factor, no-arbitrage model of the term structure of interest rates. The stochastic factors are the short-term interest rate and the premia of the futures rates over the short-term interest rate. In the three-factor version of the model, for example, the rst factor is the threemonth LIBOR, the second ...

This study aims to analyze the market factor portfolio beta, small minus big high low volatility beta effect on investment returns with Fama and French augmented three model in manufacturing industry under conditions of political uncertainty. research is a quantitative hypothesis that there an portfolio, The variables used this include dependent variable, namely independent beta. measurement re...

Abstract This paper suggests innovative investment strategies drawing on return seasonalities. By means of an out-of-sample study the German stock market, we report that these long–short earn average raw returns up to 233 basis points per month throughout two decades from 1998 2017. On a monthly basis, this documents outperformance corresponding Heston and Sadka (J Financ Econ 87(2):418–445, 20...

Employing a new proxy for liquidity, this paper examines its impact on stock returns in the context of the Fama-French framework. We augment the Carhart four-factor model with a liquidity factor and employ individual and system regression techniques. Using an extensive dataset drawn from the Australian equities market, we find a significant illiquidity premium and evidence that liquidity explai...

Particularly, it is difficult to accurately measure investor sentiment due the inherent complexity and dynamic change. This paper tests impact of investors’ behavior in U.S. equity market. By using monthly data from February 2014 December 2018, impacts are examined. Besides, Fama-French risk factors investigated a new multiple factor asset pricing model. Specifically, measured by six-variable c...

Approaches to describing the behavior ofstock prices were long dominated by a simple model, a geometric random walk with uncorrelated innovations (Fama, 1970). An implication of this model is that stock returns are independent and identically distributed (iid) random variables. Early tests found little evidence of economically significant short-horizon autocorrelations and predictability, there...

Aim: The main purpose of this study was to adapt the Restraint Scale (RS) to Portuguese and examine its psychometric properties, specifically its construct validity. Method: In this study, 238 normal-weight adults (82% women; Mean age = 36.6, SD = 15.0) participated in an online survey containing measures of Restraint Scale, Three Factor Eating Questionnaire, Dutch Eating Behaviour Questionnair...

The Wharton Financial Institutions Center provides a multidisciplinary research approach to the problems and opportunities facing the financial services industry in its search for competitive excellence. The Center's research focuses on the issues related to managing risk at the firm level as well as ways to improve productivity and performance. The Center fosters the development of a community...