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An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union. (2012). Ammann, Manuel ; Oesch, David ; Odoni, Sandro .
In: Working Papers on Finance.
RePEc:usg:sfwpfi:2012:02.

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  1. A novel integration of the Fama–French and Black–Litterman models to enhance portfolio management. (2024). Lee, Jaewook ; Son, Bumho ; Ko, Hyungjin.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000155.

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  2. Modeling the Time Variation in Factor Exposures. (2023). Pynonen, Seppo ; Koutmos, Gregory ; Kolari, James W ; Knif, Johan.
    In: Journal of Finance and Investment Analysis.
    RePEc:spt:fininv:v:12:y:2023:i:2:f:12_2_2.

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  3. Cracking the Code of Market Secrets: A Deep Dive into Financial Anomalies. (2023). Pu, Suan Hui ; Uluyol, Burhan ; Kanaparan, Geetha ; Shaturaev, Jakhongir.
    In: MPRA Paper.
    RePEc:pra:mprapa:119039.

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  4. International factor models. (2023). Preissler, Fabian ; Muller, Sebastian ; Jacobs, Heiko ; Huber, Daniel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:150:y:2023:i:c:s0378426623000444.

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  5. Data Envelopment Analysis and Multifactor Asset Pricing Models. (2020). Rojo-Suarez, Javier ; Alonso-Conde, Ana Belen ; Solorzano-Taborga, Pablo.
    In: IJFS.
    RePEc:gam:jijfss:v:8:y:2020:i:2:p:24-:d:347105.

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  6. Asset Pricing and Momentum: A South African Perspective. (2018). Charteris, Ailie ; Chidede, Tafadzwa-Hidah ; Rwishema, Mukashema.
    In: Journal of African Business.
    RePEc:taf:wjabxx:v:19:y:2018:i:1:p:62-85.

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  7. An Empirical Assessment of the Q-Factor Model: Evidence from the Karachi Stock Exchange. (2017). Asad, Humaira ; Cheema, Faraz Khalid.
    In: Lahore Journal of Economics.
    RePEc:lje:journl:v:22:y:2017:i:2:p:117-138.

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  8. Applicability of Investment and Profitability Effects in Asset Pricing Models. (2017). de Souza, Suelle Cariele ; Faff, Robert ; Veras, Marcio Andre .
    In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration).
    RePEc:abg:anprac:v:21:y:2017:i:6:1248.

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  9. Equity Anomalies and Idiosyncratic Risk Around the World. (2015). Yu, Linda ; Opsal, Scott ; Fan, Steve .
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:19:y:2015:i:1:p:33-75.

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  10. Common risk factors of infrastructure investments. (2015). Ben Ammar, Semir ; Eling, Martin.
    In: Energy Economics.
    RePEc:eee:eneeco:v:49:y:2015:i:c:p:257-273.

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  11. Green and socially responsible investing in international markets. (2014). Walkshausl, Christian ; Lobe, Sebastian ; Lesser, Kathrin .
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:15:y:2014:i:5:d:10.1057_jam.2014.31.

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  12. Common Risk Factors of Infrastructure Firms. (2013). Ben Ammar, Semir ; Eling, Martin.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2013:07.

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References

References cited by this document

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    Paper not yet in RePEc: Add citation now
  4. Chen, L., Novy-Marx, R., Zhang, L., 2011. An alternative three-factor model. Working Paper, Washington University in St. Louis.
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Cocites

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  2. Anomalies Abroad: Beyond Data Mining. (2017). Yuan, Yu ; Stambaugh, Robert ; Lu, Xiaomeng .
    In: NBER Working Papers.
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  3. Asset Pricing with Idiosyncratic Shocks. (2016). Vanitcharearntham, Vimut ; Srisuksai, Pithak .
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  4. Does Idiosyncratic Risk Matter? Evidence from the Japanese Stock Market. (2015). Xiao, Bing.
    In: Eurasian Journal of Business and Management.
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  5. Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach. (2015). Tokpavi, Sessi ; Maillet, Bertrand ; Vaucher, Benoit .
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  6. Are extreme returns priced in the stock market? European evidence. (2013). Annaert, Jan ; de Ceuster, Marc ; Verstegen, Kurt .
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  7. Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly. (2013). Humphery-Jenner, Mark ; Dutt, Tanuj ; Humphèry, Mark ; Humphery von Jenner, Mark.
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  8. Incomplete information, idiosyncratic volatility and stock returns. (2013). Berrada, Tony ; Hugonnier, Julien.
    In: Journal of Banking & Finance.
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  9. Portfolio selection: An extreme value approach. (2013). DiTraglia, Francis ; Gerlach, Jeffrey R..
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  10. The volatility effect in emerging markets. (2013). Vliet, Pim ; Blitz, David ; van Vliet, Pim ; Pang, Juan .
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  11. Return dispersion, stock market liquidity and aggregate economic activity. (2013). Floros, Christos ; Degiannakis, Stavros ; Andrikopoulos, Andreas ; Angelidis, Timotheos.
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  12. Emerging Stock Premia: Some Evidence From Industrial Stock Market Data. (2013). Lucchetta, Marcella ; Donadelli, Michael.
    In: Asian Economic and Financial Review.
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  13. An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union. (2012). Ammann, Manuel ; Oesch, David ; Odoni, Sandro .
    In: Working Papers on Finance.
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  23. An alternative three-factor model for international markets: Evidence from the European Monetary Union. (2012). Ammann, Manuel ; Oesch, David ; Odoni, Sandro .
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