Noise-augmented asset pricing models : evidence from the Greater China stock markets during two major financial crises

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Noise-augmented asset pricing models : evidence from the Greater China stock markets during two major financial crises

The main contribution of the thesis is the construction of noise-augmented asset pricing models. These models are the extension of Fama & French Three Factor Model (1992,1993) and subsequent improved version of Five Factor Model (2015), by adding a behavourial factor - investor sentiment (INVSEN...

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Bibliographic Details
Main Author:	Lim, Chee Ming
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	2017
Subjects:	asset pricing models Global Financial Crisis (2008-2009) Eurozone Crisis value premium Greater China Fama–French three-factor model Fama–French five-factor model value premium phenomenon
Online Access:	https://eprints.nottingham.ac.uk/46769/

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