Testing mispricing-augmented factor models in an emerging market: A quest for parsimony-Reference-Cited by-同舟云学术

Testing mispricing-augmented factor models in an emerging market: A quest for parsimony

Published:2021-05 Issue: Volume: Page:
ISSN:2214-8450
Container-title:Borsa Istanbul Review
language:en
Short-container-title:Borsa Istanbul Review

Author:

Ali Fahad^ORCID

Funder

China Postdoctoral Science Foundation

Publisher

Elsevier BV

Subject

General Medicine

Reference38 articles.

1. Stock returns and the miller modigliani valuation formula: Revisiting the fama French analysis;Aharoni;Journal of Financial Economics,2013

2. Size, value and business cycle variables. The three-factor model and future economic growth: Evidence from an emerging market;Ali;Economies,2018

3. The five-factor Asset pricing model tests and profitability and investment premiums: Evidence from Pakistan;Ali;Emerging Markets Finance and Trade,2019

4. Quest for a parsimonious factor model in the wake of quality-minus-junk, misvaluation and Fama-French-six factors;Ali;Finance Research Letters,2020

5. Weekday seasonality of stock returns: The contrary case of China;Ali;Journal of Asian Economics,2020

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1. A Comparison of Competing Asset Pricing Models: Empirical Evidence from Pakistan;Risks;2023-03-24

2. The Empirical Explanatory Power of CAPM and the Fama and French Three-Five Factor Models in the Moroccan Stock Exchange;International Journal of Financial Studies;2023-03-14

3. Testing the Augmented Fama–French Six-Factor Asset Pricing Model with Momentum Factor for Borsa Istanbul;Discrete Dynamics in Nature and Society;2022-08-12

4. Performance of factor models in explaining anomalous return patterns: Evidence from Pakistan;Investment Analysts Journal;2022-04-03

5. Predictability of extreme daily returns and Preference for lottery-like stocks in an emerging market;Economic Research-Ekonomska Istraživanja;2021-08-23