Open AccessPosted Content
Digesting Anomalies: An Investment Approach
Kewei Hou,Chen Xue,Lu Zhang +2 more
TLDR
In this paper, the authors proposed a new factor model that consists of the market factor, a size factor, an investment factor, and a return-on-equity factor.Abstract:
Motivated from investment-based asset pricing, we propose a new factor model that consists of the market factor, a size factor, an investment factor, and a return-on-equity factor The new model [i] outperforms the Carhart (1997) four-factor model in pricing portfolios formed on earnings surprise, idiosyncratic volatility, financial distress, equity issues, as well as on investment and return-on-equity; [ii] performs similarly as the Carhart model in pricing portfolios on momentum as well as on size and book-to-market; but [iii] underperforms in pricing the total accrual deciles Our model's performance, combined with its clear economic intuition, suggests that it can serve as a new workhorse model for academic research and investment management practiceread more
Citations
More filters
Journal ArticleDOI
Detecting the lead–lag effect in stock markets: definition, patterns, and investment strategies
TL;DR: Li et al. as mentioned in this paper used the power-law distribution to formally define the lead-lag effect, detect stock pairs with the lead -lag effect and then design a pure leadlag investment strategy as well as enhancement investment strategies by integrating the leadlag strategy into classic alpha-factor strategies.
Book ChapterDOI
Trees Do Not Grow to the Sky: Reversals in a Stock Market
Adam Zaremba,Jacob Shemer +1 more
TL;DR: In this article, the authors discuss both the sources and implementation of reversal strategies in financial markets and showcase various improvements to the reversal strategies providing vast theoretical and empirical evidence in their support.
Journal ArticleDOI
Stock return drivers: a mix of reasons and emotions
TL;DR: Zhang et al. as discussed by the authors studied the explanatory power of investor rationality and irrationality for value and momentum portfolios and examined the relationship during financial crisis events, namely, the US subprime mortgage crisis (2007-2009) and the European debt crisis (2011-2013).
Journal ArticleDOI
Is that factor just lucky? Australian evidence
TL;DR: In this article, the authors construct a set of ninety-one risk factors for the period from January 1992 to December 2017 and test which factors contribute in an economically and statistically significant manner towards improving the cross-sectional performance of asset pricing models.
A review of efficient markets hypothesis: an analysis of eugene fama and ken french?s research
TL;DR: This article test the research presented by Eugene Fama and Kenneth French in an attempt to understand if markets truly are efficient, or if it is possible to achieve statistically significant returns, implying consistent mispricing prevalent in the market.
References
More filters
Journal ArticleDOI
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
Journal ArticleDOI
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
Journal ArticleDOI
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
TL;DR: In this article, the authors show that strategies that buy stocks that have performed well in the past and sell stocks that had performed poorly in past years generate significant positive returns over 3- to 12-month holding periods.
Journal ArticleDOI
Does the Stock Market Overreact
TL;DR: In this article, a study of market efficiency investigates whether people tend to "overreact" to unexpected and dramatic news events and whether such behavior affects stock prices, based on CRSP monthly return data, is consistent with the overreaction hypothesis.
Journal ArticleDOI
Multifactor Explanations of Asset Pricing Anomalies
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors show that many of the CAPM average-return anomalies are related, and they are captured by the three-factor model in Fama and French (FF 1993).
Related Papers (5)
CAPM tests and alternative factor portfolio composition: getting the alphas right
Lieven De Moor,Piet Sercu +1 more