Accesso libero

Asset Pricing Puzzle: New Evidence of Fama-French Five-Factors in Emerging Market Perspectives

INFORMAZIONI SU QUESTO ARTICOLO

Cita

Akbas, F., Jiang, C., & Koch, P. D. (2017). The trend in firm profitability and the cross-section of stock returns. The Accounting Review, 92(5), 1–32. https://doi.org/10.2308/accr-51708 Search in Google Scholar

Alfaro, L., Asis, G., Chari, A., & Panizza, U. (2019). Corporate debt, firm size and financial fragility in emerging markets. Journal of International Economics, 118, 1–19. https://doi.org/10.1016/j.jinteco.2019.01.002 Search in Google Scholar

Andreou, P. C., Doukas, J. A., Koursaros, D., & Louca, C. (2019). Valuation effects of overconfident CEOs on corporate diversification and refocusing decisions. Journal of Banking & Finance, 100, 182–204. https://doi.org/10.1016/j.jbankfin.2019.01.009 Search in Google Scholar

Antono, Z., Jaharadak, A., & Khatibi, A. (2019). Analysis of factors affecting stock prices in mining sector: Evidence from Indonesia Stock Exchange. Management Science Letters, 9(10), 1701–1710. https://doi.org/10.5267/j.msl.2019.5.018 Search in Google Scholar

Appio, F. P., De Luca, L. M., Morgan, R., & Martini, A. (2019). Patent portfolio diversity and firm profitability: A question of specialization or diversification? Journal of Business Research, 101, 255–267. https://doi.org/10.1016/j.jbusres.2019.04.020 Search in Google Scholar

Ararat, M., Black, B. S., & Yurtoglu, B. B. (2017). The effect of corporate governance on firm value and profitability: Time-series evidence from Turkey. Emerging Markets Review, 30, 113–132. https://doi.org/10.1016/j.ememar.2016.10.001 Search in Google Scholar

Bai, J., Bali, T. G., & Wen, Q. (2019). Common risk factors in the cross-section of corporate bond returns. Journal of Financial Economics, 131(3), 619–642. https://doi.org/10.1016/j.jfineco.2018.08.002 Search in Google Scholar

Bhaskaran, R. K., & Kovilathumpaday Sukumaran, S. (2021). Empirical examination of an integrative model for asset pricing–evidence from US market. Review of Behavioral Finance. https://doi.org/10.1108/RBF-01-2021-0012 Search in Google Scholar

Bi, H., Wang, G., & Wang, X. (2019). Valuation of catastrophe equity put options with correlated default risk and jump risk. Finance Research Letters, 29, 323–329. https://doi.org/10.1016/j.frl.2018.08.014 Search in Google Scholar

Black, F. (1972). Capital market equilibrium with restricted borrowing. The Journal of Business, 45(3), 444–455. https://doi.org/10.1086/295472 Search in Google Scholar

Brandon, R. G., & Wang, S. (2020). Earnings belief risk and the cross-section of stock returns. Review of Finance, 24(5), 1107–1158. https://doi.org/10.1093/rof/rfaa001 Search in Google Scholar

Braun, R., Jenkinson, T., & Schemmerl, C. (2020). Adverse selection and the performance of private equity co-investments. Journal of Financial Economics, 136(1), 44–62. https://doi.org/10.1016/j.jfineco.2019.01.009 Search in Google Scholar

Brogaard, J., Hendershott, T., & Riordan, R. (2019). Price discovery without trading: Evidence from limit orders. The Journal of Finance, 74(4), 1621–1658. https://doi.org/10.1111/jofi.12769 Search in Google Scholar

Brunnermeier, M., Farhi, E., Koijen, R. S., Krishnamurthy, A., Ludvigson, S. C., Lustig, H., Nagel, S., & Piazzesi, M. (2021). Perspectives on the Future of Asset Pricing. Review of Financial Studies, 34, 2126–2160. https://doi.org/10.1093/rfs/hhaa129 Search in Google Scholar

Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82. https://doi.org/10.1111/j.1540-6261.1997.tb03808.x Search in Google Scholar

Cochrane, D., & Orcutt, G. H. (1949). Application of least squares regression to relationships containing auto-correlated error terms. Journal of the American Statistical Association, 44(245), 32–61.10.1080/01621459.1949.10483290 Search in Google Scholar

Connor, G., & Korajczyk, R. A. (1988). Risk and return in an equilibrium APT: Application of a new test methodology. Journal of Financial Economics, 21(2), 255–289. https://doi.org/10.1016/0304-405X(88)90062-1 Search in Google Scholar

Dang, C., (Frank) Li, Z. F., & Yang, C. (2018). Measuring firm size in empirical corporate finance. Journal of Banking & Finance, 86, 159–176. https://doi.org/10.1016/j.jbankfin.2017.09.006 Search in Google Scholar

Eisdorfer, A., Goyal, A., & Zhdanov, A. (2019). Equity misvaluation and default options. The Journal of Finance, 74(2), 845–898. https://doi.org/10.1111/jofi.12748 Search in Google Scholar

Faff, R. W. (2003). Creating Fama and French factors with style. Financial Review, 38(2), 311–322. https://doi.org/10.1111/1540-6288.00048 Search in Google Scholar

Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22. https://doi.org/10.1016/j.jfineco.2014.10.010 Search in Google Scholar

Fama, E. F., & French, K. R. (2017). International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3), 441–463. https://doi.org/10.1016/j.jfineco.2016.11.004 Search in Google Scholar

Fama, E. F., & French, K. R. (2020). Comparing cross-section and time-series factor models. Review of Financial Studies, 33(5), 1891–1926. https://doi.org/10.1093/rfs/hhz089 Search in Google Scholar

Fama, E. F., & French, K. R. (2021). Common risk factors in the returns on stocks and bonds. University of Chicago Press. Search in Google Scholar

Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607–636. https://doi.org/10.1086/260061 Search in Google Scholar

Forte, G., Gianfrate, G., & Rossi, E. (2020). Does relative valuation work for banks? Global Finance Journal, 44, 100449. https://doi.org/10.1016/j.gfj.2018.09.002. Erratum regarding missing Declaration of Competing Interest statements in previously published articles, Global Finance Journal, Volume 52, 2022, 100597, ISSN 1044-0283, https://doi.org/10.1016/j.gfj.2020.100597. Search in Google Scholar

González, M., Nave, J., & Rubio, G. (2018). Macroeconomic determinants of stock market betas. Journal of Empirical Finance, 45, 26–44. https://doi.org/10.1016/j.jempfin.2017.10.003 Search in Google Scholar

Guo, B., Zhang, W., Zhang, Y., & Zhang, H. (2017). The five-factor asset pricing model tests for the Chinese stock market. Pacific-Basin Finance Journal, 43, 84–106. https://doi.org/10.1016/j.pacfin.2017.02.001 Search in Google Scholar

Hartman-Glaser, B., Lustig, H., & Xiaolan, M. Z. (2019). Capital share dynamics when firms insure workers. The Journal of Finance, 74(4), 1707–1751. https://doi.org/10.1111/jofi.12773 Search in Google Scholar

Hoque, H., & Mu, S. (2019). Partial private sector oversight in China’s A-share IPO market: An empirical study of the sponsorship system. Journal of Corporate Finance, 56, 15–37. https://doi.org/10.1016/j.jcorpfin.2019.01.002 Search in Google Scholar

Hossain, M. S. (2021). Economic Scar Tissue of COVID-19 Puzzle: An Analysis, Evidence and Suggestion on Global Perspective. Global Business Review. https://doi.org/10.1177/09721509211055960 Search in Google Scholar

Hou, K., & Van Dijk, M. A. (2019). Resurrecting the size effect: Firm size, profitability shocks, and expected stock returns. Review of Financial Studies, 32(7), 2850–2889. https://doi.org/10.1093/rfs/hhy104 Search in Google Scholar

Huang, T. L. (2019). Is the Fama and French five-factor model robust in the Chinese stock market? Asia Pacific Management Review, 24(3), 278–289. https://doi.org/10.1016/j.apmrv.2018.10.002 Search in Google Scholar

Jehiel, P. (2018). Investment strategy and selection bias: An equilibrium perspective on overoptimism. The American Economic Review, 108(6), 1582–1597. https://doi.org/10.1257/aer.20161696 Search in Google Scholar

Kafouros, M., & Aliyev, M. (2016). Institutional development and firm profitability in transition economies. Journal of World Business, 51(3), 369–378. https://doi.org/10.1016/j.jwb.2015.06.002 Search in Google Scholar

Kelly, B., & Ljungqvist, A. (2012). Testing asymmetric-information asset pricing models. Review of Financial Studies, 25(5), 1366–1413. https://doi.org/10.1093/rfs/hhr134 Search in Google Scholar

Lewellen, J. (2014). The cross section of expected stock returns. Forthcoming in Critical Finance Review. Tuck School of Business Working Paper, (2511246). https://doi.org/10.2139/ssrn.2511246 Search in Google Scholar

eISSN:
2300-5289
Lingua:
Inglese
Frequenza di pubblicazione:
4 volte all'anno
Argomenti della rivista:
Business and Economics, Political Economics, other