Scrutinizing Portfolio Strategies And Asset Pricing Models: The French Case
| Autor: | Aya Nasreddine, Souad Lajili Jarjir |
|---|---|
| Přispěvatelé: | Centre d'Etudes et de Recherches sur les Organisations et la Stratégie (CEROS), Université Paris Nanterre (UPN), Institut de Recherche en Gestion (IRG), Université Paris-Est Marne-la-Vallée (UPEM)-Université Paris-Est Créteil Val-de-Marne - Paris 12 (UPEC UP12), LAJILI JARJIR, Souad |
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
[QFIN.GN] Quantitative Finance [q-fin]/General Finance [q-fin.GN]
[QFIN.GN]Quantitative Finance [q-fin]/General Finance [q-fin.GN] Momentum [QFIN.PR]Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR] [QFIN]Quantitative Finance [q-fin] Asset Pricing models [QFIN.CP] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] Crisis period IRG_AXE1 [QFIN.PR] Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR] [QFIN.ST]Quantitative Finance [q-fin]/Statistical Finance [q-fin.ST] [QFIN.PM] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] [QFIN] Quantitative Finance [q-fin] [QFIN.ST] Quantitative Finance [q-fin]/Statistical Finance [q-fin.ST] Risk factors Value premium JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions Size effect JEL: G - Financial Economics/G.G1 - General Financial Markets French stock market characteristics JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates |
| Zdroj: | Bankers Markets & Investors : an academic & professional review Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2017, pp.38-48 Bankers Markets & Investors : an academic & professional review, 2017, 146, pp.38-48 HAL |
| ISSN: | 2101-9304 |
| Popis: | International audience; On the basis of 25 size/book to market and 25 size/momentum portfolios and over the 1981-2013 period, this study gives robust results about the characteristics of French stock market returns with different asset pricing models (CAPM, Fama and French (1993) threefactor and Carhart (1997) four-factor models). The four-factor model accounts better for common variation in stock returns, but it adds little compared to the three-factor one. Moreover, size, value and momentum effects are more significant when stock markets are febrile. Furthermore, except for loser portfolios, asset pricing models are more relevant for big rather than small capitalizations. Using the Gibbons, Ross and Shanken (1989) test, market, size, value and momentum factors explain stock returns better than one and three-factor models. Except the four factor model, we reject all other tested asset pricing models. A better proxy for the market portfolio is the value-weighted portfolio of all stocks. |
| Databáze: | OpenAIRE |
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