Common risk factors in the returns on stocks : empirical evidence from Singapore.

By M. Beni Kurniawan, ChinFei Ng. 2011

139 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/1329afa7bf86791f4ef8cd9bbbef4e59b491d615

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Citations in the corpus

A six-factor asset pricing model (2018, methodology): “The prominent model among them is the Fama and French (1993), three-factor model that extends CAPM with two factors relating to book-to-market and size. Successively, the three-factor model of Fama and French (FF) become the benchmark model to price the variation in cross-sectional asset returns. La”
Investor sentiment effect in stock markets: Stock characteristics or country-specific factors? (2013, methodology): “Regressions of long-short portfolios constructed following the approach used by Jegadeesh and Titman (2001) for a 6, 12 and 24 month time horizon.”
Common risk factors in the cross-section of corporate bond returns (2019, methodology): “Following Jostova et al. (2013) , the bond momentum factor (MOM Bond ) is constructed from 5 × 5 bivariate portfolios of credit rating and bond momentum, defined as the cumulative returns over months from t − 7 to t − 2 (formation period).”
A New Approach to Predicting Analyst Forecast Errors: Do Investors Overweight Analyst Forecasts? (2013, methodology): “…to known risk proxies, Panel A of Table 7 contains portfolio alphas from orthogonalizing CO strategy returns to the Fama-French and momentum factors (Fama and French, 1992, 1993): RCO,m ¼ aþb1ðRmkt,m Rf ,mÞþb1HMLmþb2SMBm þb3UMDmþEi,m, ð12Þ where firms are assigned to quintiles once a year and held…”
Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, methodology): “For equities, we use the Fama and French (1993) 25 size and value sorted portfolios (from Ken French’s website).”
Bubbles for Fama (2019, methodology): “3 See Grinblatt and Moskowitz (1999), Asness, Porter, and Stevens (20 0 0), Hou and Robinson (2006), Hong et al. (2007 ), among others. 4 See Ofek and Richardson (2003), Brunnermeier and Nagel (2004), Pastor and Veronesi (2006) , and Griffin et al.”
Dissecting Climate Risks: Are they Reflected in Stock Prices? (2021, background): “, Gertler and Gilchrist (1994), Campello and Chen (2010))), and that financially constrained firms tend to pollute more than the unconstrained ones (Bartram et al.”
Operational risk and reputation in the financial industry (2010, methodology): “We start with the cross-sectional analysis of firm returns proposed by Fama and French (1993). According to their analysis, firm size (proxied by the market value of the company group on the studied date, expressed in US$ billion) and its price-to-book ratio are major specific determinants of the cr”
Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model (2009, methodology): “The normality assumption was rejected by Fama and French (1993), Richardson and Smith (1993), Longin and Solnik (2001), Ang and Chen (2002), and Mashal and Zeevi (2002), and so on.”