1 |
Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18. https://doi.org/10.1016/0304-405X(81)90018-0.
DOI
|
2 |
Bornholt, G. (2007). Extending the capital asset pricing model: the reward beta approach. Accounting & Finance, 47(1), 69-83. https://doi.org/10.1111/j.1467-629X.2007.00202.x.
DOI
|
3 |
Cakici, N. (2015). The five-factor Fama-French model: International evidence. Available at SSRN 2601662. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2601662.
|
4 |
Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82. https://doi.org/10.1111/j.1540-6261.1997.tb03808.x.
DOI
|
5 |
Chiah, M., Chai, D., Zhong, A., & Li, S. (2016). A Better Model? An empirical investigation of the Fama-French five‐factor model in Australia. International Review of Finance, 16(4), 595-638. https://doi.org/10.1111/irfi.12099.
DOI
|
6 |
Daniel, K., & Titman, S. (1997). Evidence on the characteristics of cross sectional variations in stock returns. The Journal of Finance, 52(1), 1-33. https://doi.org/10.1111/j.1540-6261.1997.tb03806.x.
DOI
|
7 |
Fama, E., & French, K. (2014). A five-factor asset pricing model, fama-miller working paper: September. https://doi.org/10.1016/j.jfineco.2014.10.010.
|
8 |
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. https://doi.org/10.1016/0304-405X(93)90023-5.
DOI
|
9 |
Fama, E. F., & French, K. R. (1997). Industry costs of equity. Journal of Financial Economics, 43(2), 153-193. https://doi.org/10.1016/S0304-405X(96)00896-3.
DOI
|
10 |
Fama, E. F., & French, K. R. (2004). The capital asset pricing model: theory and evidence. Journal of Economic Perspectives, 18(3), 25-46. DOI: 10.1257/0895330042162430.
DOI
|
11 |
Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22. https://doi.org/10.1016/j.jfineco.2014.10.010.
DOI
|
12 |
Hou, K., Xue, C., & Zhang, L. (2015). Digesting anomalies: An investment approach. The Review of Financial Studies, 28(3), 650-705. https://doi.org/10.1093/rfs/hhu068.
DOI
|
13 |
Hou, K., Xue, C., & Zhang, L. (2017). A comparison of new factor models. Fisher College of Business Working Paper (2015-03), 05. https://econpapers.repec.org/paper/eclohidic/2015-05.htm.
|
14 |
Huynh, T. D. (2018). Explaining anomalies in Australia with a five-factor asset pricing model. International Review of Finance, 18(1), 123-135. https://doi.org/10.1111/irfi.12125
DOI
|
15 |
Baylan, E. B. (2020). A Novel Project Risk Assessment Method Development via AHP-TOPSIS Hybrid Algorithm. Emerging Science Journal, 4(5), 390-410. https://www.ijournalse.org/index.php/ESJ/article/view/410
DOI
|
16 |
Lin, Q. (2017). Noisy prices and the Fama-French five-factor asset pricing model in China. Emerging Markets Review, 31, 141-163. https://doi.org/10.1016/j.ememar.2017.04.002.
DOI
|
17 |
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-37. https://doi.org/10.1016/B978-0-12-780850-5.50018-6.
DOI
|
18 |
Liu, W. (2006). A liquidity-augmented capital asset pricing model. Journal of Financial Economics, 82(3), 631-671. https://doi.org/10.1016/j.jfineco.2005.10.001.
DOI
|
19 |
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 768-783. https://www.jstor.org/stable/1910098.
|
20 |
Markowitz, H. (1952). Portfolio selection. Journal of Finance,7(1), 77-91. https://www.math.ust.hk/-maykwok/courses/ma362/07F/markowitz_JF.pdf
DOI
|
21 |
Novy-Marx, R. (2012). Is momentum really momentum? Journal of Financial Economics, 103(3), 429-453. https://doi.org/10.1016/j.jfineco.2011.05.003.
DOI
|
22 |
Novy-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108(1), 1-28. https://doi.org/10.1016/j.jfineco.2013.01.003.
DOI
|
23 |
Ozkan, N. (2018). Fama-French Five Factir Model and The Necessity oF Value Factor: Evidence from Istanbul Stock Exchange. Procedia, 8(1), 14-17. https://doi.org/10.17261/Pressacademia.2018.972
DOI
|
24 |
Paliienko, O., Naumenkova, S., & Mishchenko, S. (2020). An empirical investigation of the Fama-French five-factor model. Investment Management & Financial Innovations, 17(1), 143. http://dx.doi.org/10.21511/imfi.17(1).2020.13.
DOI
|
25 |
Panigrahi, C. (2019). Validity of Altman's 'Z'Score Model in Predicting Financial Distress of Pharmaceutical Companies. NMIMS Journal of Economics and Public Policy, 4(1). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3326312.
|
26 |
Phuoc, L. T., Kim, K. S., & Su, Y. (2018). Reexamination of Estimating Beta Coecient as a Risk Measure in CAPM. Journal of Asian Finance, Economics, and Business, 5(1), 11-16. https://doi.org/10.13106/jafeb.2018.vol5.no1.11
DOI
|
27 |
Pojanavatee, S. (2020). Tests of a Four-Factor Asset Pricing Model: The Stock Exchange of Thailand. Journal of Asian Finance, Economics, and Business, 7(9), 117-123. https://doi.org/10.13106/jafeb.2020.vol7.no9.117
DOI
|
28 |
Shaharuddin, S. S., Lau, W. Y., & Ahmad, R. (2018). Is the Fama french three-factor model relevant? Evidence from Islamic unit trust funds. Journal of Asian Finance, Economics and Business, 5(4), 21-34. http://doi.org/10.13106/jafeb.2018.vol5.no4.21.
DOI
|
29 |
Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360. https://doi.org/10.1142/9789814417358_0001.
DOI
|
30 |
Schweser Notes for the CFA. (2015). Kaplan. https://www.amazon.com/Kaplan-Schweser-Package-Quicksheet-Practice/dp/1475427638
|
31 |
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x.
DOI
|
32 |
Zaremba, A., & Czapkiewicz, A. (2017). Digesting anomalies in emerging European markets: A comparison of factor pricing models. Emerging Markets Review, 31, 1-15. https://doi.org/10.1016/j.ememar.2016.12.002.
DOI
|