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A comprehensive test of the Fama-French five-factor model in emerging markets

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Cited by:

  1. Xiaocui Deng & Xiaojian Su, 2023. "Do Financial Liabilities Matter in “Size Effect”? Evidence from the Chinese A-Share Market," Sustainability, MDPI, vol. 15(4), pages 1-11, February.
  2. Karim, Sitara & Lucey, Brian M. & Naeem, Muhammad Abubakr & Vigne, Samuel A., 2023. "The dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk?," Emerging Markets Review, Elsevier, vol. 54(C).
  3. Jia Meng & ZhongXiang Zhang, 2022. "Corporate Environmental Information Disclosure and Investor Response: Empirical Evidence from China's Capital Market," Working Papers 2022.03, Fondazione Eni Enrico Mattei.
  4. Tong Fang & Zhi Su & Libo Yin, 2021. "Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market," Empirical Economics, Springer, vol. 60(5), pages 2155-2176, May.
  5. Güler ARAS & İlhan ÇAM & Bilal ZAVALSIZ & Serkan KESKİN, 2018. "Fama-French Çok Faktör Varlık Fiyatlama Modellerinin Performanslarının Karşılaştırılması: Borsa İstanbul Üzerine Bir Uygulama," Istanbul Business Research, Istanbul University Business School, vol. 47(2), pages 183-207, November.
  6. Mbengue, Mohamed Lamine & Ndiaye, Bara & Sy, Oumar, 2023. "Which factors explain African stock returns?," Finance Research Letters, Elsevier, vol. 54(C).
  7. Wang, Shaoping & Yu, Lu & Zhao, Qing, 2021. "Do factor models explain stock returns when prices behave explosively? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  8. Aysenur Tarakcioglu Altinay & Mesut Dogan & Bilge Leyli Demirel Ergun & Sevdie Alshiqi, 2023. "The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 3-21.
  9. Charoenwong, Ben & Nettayanun, Sampan & Saengchote, Kanis, 2021. "Digesting anomalies: A q-factor approach for the Thai market," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
  10. Oghenovo A. Obrimah, 2023. "Underpricing of initial public offerings (IPOs) and the credibility of underwriters’ pricing services," SN Business & Economics, Springer, vol. 3(2), pages 1-33, February.
  11. Zhijing Zhang & Yue Yu & Qinghua Ma & Haixiang Yao, 2021. "A revised comparison between FF five-factor model and three-factor model,based on China's A-share market," Papers 2112.03170, arXiv.org.
  12. José Luis Miralles-Quirós & María Mar Miralles-Quirós & José Manuel Nogueira, 2020. "Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas," Sustainability, MDPI, vol. 12(5), pages 1-16, February.
  13. Figlioli, Bruno & Lima, Fabiano Guasti, 2019. "Stock pricing in Latin America: The synchronicity effect," Emerging Markets Review, Elsevier, vol. 39(C), pages 1-17.
  14. Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Yarovaya, Larisa & Ali, Shoaib, 2023. "Tail-event driven NETwork dependence in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
  15. Mosoeu, Selebogo & Kodongo, Odongo, 2022. "The Fama-French five-factor model and emerging market equity returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 55-76.
  16. Kuang-Hsun Shih & Yi-Hsien Wang & I-Chen Kao & Fu-Ming Lai, 2024. "Forecasting ETF Performance: A Comparative Study of Deep Learning Models and the Fama-French Three-Factor Model," Mathematics, MDPI, vol. 12(19), pages 1-15, October.
  17. Santosh Kumar & Ranjit Tiwari, 2021. "Does the fundamental indexation portfolio perform better? An Indian investigation," Accounting Research Journal, Emerald Group Publishing Limited, vol. 35(2), pages 121-144, June.
  18. Ekinci, Cumhur & Bulut, Ali Eray, 2021. "Google search and stock returns: A study on BIST 100 stocks," Global Finance Journal, Elsevier, vol. 47(C).
  19. Cristian Andrei Budris & Bogdan Dima, 2024. "Exploring The Fama-French Five Factor Model Within a Time-Varying Parameters Framework," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 16(2), pages 309-357, December.
  20. Safae Benfeddoul & Asmâa Alaoui Taib, 2024. "Cross-Sectionnal Patterns in Moroccan Sock Returns: A Fama-French Perspective," International Journal of Economics and Financial Issues, Econjournals, vol. 14(6), pages 182-194, October.
  21. Foye, James, 2024. "What Determines Equity Returns in Emerging Markets?," CAFE Working Papers 29, Centre for Accountancy, Finance and Economics (CAFE), Birmingham City Business School, Birmingham City University.
  22. González-Sánchez, Mariano, 2022. "Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor," Finance Research Letters, Elsevier, vol. 46(PB).
  23. Claude Bergeron, 2021. "The three-factor model without a linear return generating process," Economics Bulletin, AccessEcon, vol. 41(3), pages 1763-1772.
  24. Meng, Jia & Zhang, ZhongXiang, 2022. "Corporate environmental information disclosure and investor response: Evidence from China's capital market," Energy Economics, Elsevier, vol. 108(C).
  25. Foye, James & Valentinčič, Aljoša, 2020. "Testing factor models in Indonesia," Emerging Markets Review, Elsevier, vol. 42(C).
  26. Hani Nuri Rohuma, 2023. "Fama and French (1993) Three-Factor Model: Evidence from Conventional and Shariah-Compliant Portfolios in Bursa Malaysia," International Journal of Business and Management, Canadian Center of Science and Education, vol. 17(7), pages 1-66, February.
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