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- W3151132017 abstract "This study compares the performance of four popular factor pricing models—the capital asset-pricing model (Sharpe, 1964), the three-factor model of Fama and French (1993), the four-factor model of Carhart (1997), and the five-factor model of Fama and French (2015a)—testing their explanatory power over a broad range of cross-sectional return patterns in emerging European markets. We identify, classify, and replicate 100 anomalies documented in the financial literature. Only 20 (32) of the capitalization-weighted (equal-weighted) anomaly portfolios are significantly profitable. We show that the five-factor model best explains the returns of anomaly portfolios and verify its superiority over the other models." @default.
- W3151132017 created "2021-04-13" @default.
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- W3151132017 date "2016-12-04" @default.
- W3151132017 modified "2023-10-03" @default.
- W3151132017 title "Digesting Anomalies in Emerging European Markets: A Comparison of Factor Pricing Models" @default.
- W3151132017 hasPublicationYear "2016" @default.
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