Risk premium contributions of the Fama and French mimicking factors
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DOI: 10.1016/j.frl.2018.08.017
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Cited by:
- Fernando Anuno & Mara Madaleno & Elisabete Vieira, 2023. "Using the Capital Asset Pricing Model and the Fama–French Three-Factor and Five-Factor Models to Manage Stock and Bond Portfolios: Evidence from Timor-Leste," JRFM, MDPI, vol. 16(11), pages 1-22, November.
- Son, Bumho & Lee, Jaewook, 2022. "Graph-based multi-factor asset pricing model," Finance Research Letters, Elsevier, vol. 44(C).
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More about this item
Keywords
Asset pricing; Fama–French model; Risk premium contributions; Decomposition; Predictability; January effect;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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