Distributional Dynamics of Fama-French Factors in European Markets
The three-factor model of Fama and French has proved to be a seminal contribution to asset pricing theory, and was recently extended to include two more factors, yielding the Fama-French five-factor model. Other proposed augmentations of the three-factor model includes the introduction of a momentum...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2020
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266381 |