Results 101 to 110 of about 4,868,003 (142)

A Fama-MacBeth Analysis of CAPM, the Fama-French Three-Factor Model and the Fama-French Five-Factor Model on 25 Stock Portfolios

Journal of finance & banking
This paper tests the Capital Asset Pricing Model (CAPM), the Fama-French three-factor model, and the Fama-French five-factor model using 25 size and book-to-market sorted portfolios over the period July 1963 to November 2013 to examine the comparative ...
Mohd. Anisul Islam
semanticscholar   +1 more source

Social Media Sentiment Beta and the Cross-Section of Stock Returns: Evidence from China

Emerging markets finance & trade
This paper investigates the role of social media sentiment beta on individual stock returns in China. We demonstrate that low social media sentiment beta portfolios can yield higher excess returns.
Guanglong Xu, Helong Li, H. Teng
semanticscholar   +1 more source

Heterogeneous beliefs and idiosyncratic volatility puzzle: evidence from China

, 2020
PurposeThe purpose of our study is to explore the “idiosyncratic volatility puzzle” in Chinese stock market from the perspective of investors' heterogeneous beliefs.
Mao-en He, Jun-Cheng Huang, Hong-Quan Zhu   +2 more
semanticscholar   +1 more source

Asymmetric Relation Between Firm‐Level Characteristics and Returns

European Financial Management
This paper applies quantile regression to reassess the relationship between firm characteristics and future stock returns across the return distribution.
Doina C. Chichernea, Haimanot Kassa, Feifei Wang   +2 more
semanticscholar   +1 more source

Fast assimilation of frequently acquired 4D seismic data for reservoir history matching

Computational Geosciences, 2019
The study in this paper proposed a new framework for history matching of frequently acquired 4D seismic data. To achieve this goal, the large volumes of seismic data from the many repeated 4D monitors are firstly condensed into a single attribute by ...
Z. Yin, T. Feng, C. MacBeth
semanticscholar   +1 more source

Stock return predictability when growth and accrual measures are negatively correlated

China Finance Review International, 2019
Purpose For most companies, growth measures such as asset growth are positively correlated with accrual measures. Just like investment in fixed assets, current accrual represents one form of investment and is an integral part of a firm’s business growth.
Miao Luo, Tao Chen, Jun Cai
semanticscholar   +1 more source

Unexpected Correlations in Fama-MacBeth Methodology Outcomes

2011
This paper examines the Fama-MacBeth test of asset pricing models through its application to the Fama and French model. The Fama and French 25 sorted portfolios, 30 industrial portfolios and their combination have been used. The data of monthly observations span over the period 1963-2008.
Cavenaile, Laurent, Dubois, David, Hlávka, Jaroslav   +2 more
openaire   +1 more source

Dissecting the Factor Zoo: A Correlation-Robust Approach

, 2020
Chuanping Sun
semanticscholar   +1 more source

Direct correlation of 4D seismic with well activity for a clarified dynamic reservoir interpretation

, 2012
Yi Huang, C. MacBeth
semanticscholar   +1 more source

Shakespeare’s Phenomenology of Time in Macbeth

Shakespeare, 2021
Daniel Johnston
exaly