Investigating linear multi-factor models in asset pricing: considerable supplemental evidence*

QR Code

Investigating linear multi-factor models in asset pricing: considerable supplemental evidence*

The literature has offered an interesting debate about whether the performance of Fama-French’s three-factor benchmark model is inadequate because it fails to pass some model specification tests and its R2 is not convincingly high in cross-sectional estimations. Previous studies have been quite limi...

Full description

Bibliographic Details
Main Authors:	Shi, Q., Cheung, Adrian, Li, B.
Format:	Journal Article
Published:	2018
Online Access:	http://hdl.handle.net/20.500.11937/72674

Similar Items

Asset Pricing Investigation of Chinese SMEs: A Multi-Factor Model Approach
by: Yuan, Yue
Published: (2019)

The role of illiquidity risk factor in asset pricing models: Malaysian evidence
by: Ruzita Abdul Rahim,, et al.
Published: (2007)

An Empirical Investigation of Asset-Pricing Models in Vietnam
by: Diep, Thanh Tu
Published: (2009)

Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models
by: Shi, Q., et al.
Published: (2017)

Bounding Option Prices of Multi-Assets: A Semidefinite Programming Approach
by: Han, D., et al.
Published: (2005)

Role Of Behavioural Factors In Asset Pricing: Psychoanalysis Perspective And Evidence From Malaysia
by: Tuyon, Jasman
Published: (2018)

An asset pricing model that captures all the proper factors which affect the price of an asset seems to be a far-off reality according to the evidence of the existing ones.
by: Karousios, Konstantinos
Published: (2007)

Liquidity in Asset Pricing: Evidence from the Brazil Market
by: Yang, Yuanyu
Published: (2012)

Asset Pricing Model Suitability: Evidence from USA, UK, and India
by: Rahman, Tareque
Published: (2018)

Liquidity and Asset Pricing Model Evidence from Pakistan Equity Market
by: Khan, Faisal, et al.
Published: (2020)

Does R&D factor create a better assets pricing model? Evidence from FTSE 350
by: ZHOU, YI
Published: (2010)

Evidence, Determinants, And Consequences Of Asset Price Bubbles: The Case Of Malaysia And Singapore
by: Gary , John Rangel
Published: (2010)

The Effectiveness Of The Capital Asset Pricing Model (Capm) And Fama French 3-Factor Model - Evidence From Bursa Malaysia
by: Leong, Tony
Published: (2015)

Can microblogging information disclosure reduce stock price synchronicity? Evidence from China
by: Zhou, D., et al.
Published: (2018)

Capital asset pricing model and pricing of Islamic financial instruments
by: Hakim, Shabir Ahmad, et al.
Published: (2016)

Review and Comparison of the Models for Asset Pricing with Empirical Evidence from UK Stock Market
by: Tam, Ka Tung
Published: (2007)

Review and Comparison of the Models for Asset Pricing with Empirical Evidence from UK Stock Market
by: Tam, Ka Tung
Published: (2007)

Essays in empirical asset pricing
by: Cai, Haidong
Published: (2021)

The Australian asset-pricing debate
by: Durand, Robert, et al.
Published: (2015)

Bubble contagion: Evidence from Japan's asset price bubble of the 1980-90s
by: Hu, Y., et al.
Published: (2018)

The Asset Pricing and Bid-Ask Spread: An Empirical Evidence Based on the KLSE Market
by: Lee, Say Oh
Published: (1998)

Three Essays in Empirical Asset Pricing
by: QU, Shanshan
Published: (2021)

Asset Pricing and Foreign Exchange Risk
by: Apergis, Nicholas, et al.
Published: (2011)

Pricing Asset-backed Securities: A Revised Model
by: Bradka, Lukas
Published: (2008)

Modelling the relationships between duration and variation in asset prices
by: Chan, Felix, et al.
Published: (2015)

The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context
by: Cheung, Adrian, et al.
Published: (2013)

An Empirical Study of Comparison Between the Capital Asset Pricing Model and the Fama-French Three Factor Model: Evidence From Taiwan Stock Market
by: YEH, YU-JEN
Published: (2006)

Certain considerations in pricing unbundled transmission services
by: Hassan, M. Y., et al.
Published: (2006)

Identify the Risk Factor in Asset Pricing: Total Skewness in Chinese Stock Markets
by: Yang, Mei
Published: (2009)

Do Foreign Portfolio Investment Flows Affect Financial Asset Prices? Evidence From Malaysia
by: Karuppiah, Manimakudom
Published: (2017)

Heterogeneity effect of central bank independence on asset prices : evidence from selected developing countries
by: Anwar, Cep Jandi
Published: (2021)

Essays on asset pricing: comparisons of factor models, investigations of the roles of illiquidity, R&D investment, product market competition, and labor mobility
by: Bu, Ziwen
Published: (2019)

Exchange rate dynamics and asset price formation
by: Zarei, Alireza
Published: (2015)

The Evaluation of Asset Pricing Models in Hong Kong Stock Market
by: Chen, Ruoxi
Published: (2012)

Neoclassical and Behavioural Asset Pricing Models : The Case of Sri Lanka
by: Perera, Shenali Anne
Published: (2013)

Empirical Study of Asset Pricing Models on Mexico's Stock Market
by: Larsen Van Alstine, Shannen
Published: (2019)

An Evaluation of Asset Pricing Models Based on Chinese Stock Market
by: Zhao, Yifan
Published: (2108)

Empirical Study of Capital Assets Pricing Model in China Market
by: Chen, Kai
Published: (2014)

Modeling and pricing financial assets under long memory processes
by: Misiran, Masnita
Published: (2010)

Combining local and global markets in asset pricing in emerging markets: evidence from three BRICS nations
by: Hakim, Shabir Ahmad, et al.
Published: (2015)

Cannot write session to /tmp/vufind_sessions/sess_ge8a17d5pc3fape9kek1nh8q2s