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The Fama-French five-factor model and emerging market equity returns
16 references·1 citing·27 second hopsampled
The Fama-French five-factor model and emerging market equity returns (2020)The Fama-French five-factor model and eme…Choosing factors (2018)Choosing factorsInternational tests of a five-factor asset pricing model (2016)International tests of a five…A five-factor asset pricing model (2014)A five-factor asset pricing m…The other side of value: The gross profitability premium (2013)The other side of value: The …Betting against beta (2013)Betting against betaStock price synchronicity and analyst coverage in emerging markets (2005)Stock price synchronicity and…Capital Investments and Stock Returns (2004)Capital Investments and Stock…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Emerging markets finance (2003)Emerging markets financeCorporate governance and firm profitability: evidence from Korea before the economic crisis (2003)Corporate governance and firm…The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…ESG Disclosure and Portfolio Performance (2021)ESG Disclosure and Portfolio …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Editor's Choice Digesting Anomalies: An Investment ApproachFinancial Ratios and the Probabilistic Prediction of Bankruptcy (1980)… and the Cross-Section of Expected Returns (2015)Replicating Anomalies (2018)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)Law and Finance (1998)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)R2 around the world: New theory and new tests☆ (2005)Does board gender diversity improve the informativeness of stock prices? (2011)On Persistence in Mutual Fund Performance (1997)Dissecting Anomalies with a Five-Factor Model (2015)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2013Betting against beta2,027 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 2004Capital Investments and Stock Returns1,411 cited
  • 2018Choosing factors1,020 cited
  • 2016International tests of a five-factor asset pricing model930 cited
  • 2003Corporate governance and firm profitability: evidence from Korea before the economic crisis876 cited
  • 2005Stock price synchronicity and analyst coverage in emerging markets831 cited
  • 2003Emerging markets finance

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  • 2021ESG Disclosure and Portfolio Performance53 cited