Szczegóły publikacji
Opis bibliograficzny
Digesting anomalies in emerging European markets: A comparison of factor pricing models / Adam Zaremba, Anna CZAPKIEWICZ // Emerging Markets Review ; ISSN 1566-0141. — 2017 — vol. 31, s. 1–15. — Bibliogr. s. 15, Abstr. — Publikacja dostępna online od: 2016-12-21
Autorzy (2)
- Zaremba Adam
- AGHCzapkiewicz Anna
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 104412 |
|---|---|
| Data dodania do BaDAP | 2017-10-04 |
| Tekst źródłowy | URL |
| DOI | 10.1016/j.ememar.2016.12.002 |
| Rok publikacji | 2017 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Czasopismo/seria | Emerging Markets Review |
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.
