Browsing Economic and Management Sciences by Subject "Factor models"

Now showing items 1-3 of 3

An application of factor pricing models to the Polish stock market

Zaremba, Adam; Czapkiewicz, Anna; Szczygielski, Jan Jakub; Kaganov, Vitaly (Routledge, 2019)

We evaluate and compare the performance of four popular factor pricing models: the capital asset pricing model, the Fama and French three-factor model, Carhart’s four-factor model, and the five-factor model of Fama and ...
An augmented macroeconomic linear factor model of South African industrial sector returns

Szczygielski, Jan Jakub; Brummer, L.M., 1940-; Wolmarans, Hendrik Petrus (Emerald, 2020-11)

PURPOSE : This study aims to investigate the impact of the macroeconomic environment on South African industrial sector returns. DESIGN/METHODOLOGY/APPROACH : Using standardized coefficients derived from time-series factor ...
Forecasting returns of major cryptocurrencies : evidence from regime-switching factor models

Bouri, Elie; Christou, Christina; Gupta, Rangan (Elsevier, 2022-10)

The returns of cryptocurrencies tend to co-move, with their degree of co-movement being contingent on the (bullish- or bearish-) states. Given this, we use standard factor models and regime-switching factor loadings to ...

Now showing items 1-3 of 3

Search UPSpace