The French Model
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Comparison Of The Capm The Fama French Three Factor Model And Modifications
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Author : Christoph Lohrmann
language : en
Publisher: GRIN Verlag
Release Date : 2015-08-18
Comparison Of The Capm The Fama French Three Factor Model And Modifications written by Christoph Lohrmann and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-18 with Business & Economics categories.
Seminar paper from the year 2014 in the subject Economics - Finance, grade: 6,0 (Schweizer Notensystem), University of Liechtenstein, früher Hochschule Liechtenstein, language: English, abstract: This paper is focused on comparing the Capital Asset Pricing Model, the Fama-French Three Factor model and two modified versions of the Fama-French Model in their ability to explain excess returns. The first modified model contains the same explanatory variables as the Fama-French Model but with an additional AR(1) process. The second modification contains instead of an additional AR(1) an AR(2) process. Evaluated by the adjusted R2 and the Akaike information criterion, the Fama-French model yields a higher model-fit than the CAPM. The modified Fama-French Model with an AR(2) process leads to significant results for the twice lagged return in the model in four out of six tested portfolios. Therefore, the in-sample regression reveals a higher model-fit of the modified Fama-French model with AR(2) in comparison to the other three models. Since the results differ from a regression in the subsequent period, the results are most likely spurious. Nevertheless, the authors show the high-er model-fit of the Fama-French Three Factor Model in relation to the CAPM.
The French Model
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Author : Yousry Aly Mostafa
language : en
Publisher:
Release Date : 1961
The French Model written by Yousry Aly Mostafa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1961 with categories.
Python For Finance
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Author : Yuxing Yan
language : en
Publisher: Packt Publishing Ltd
Release Date : 2014-04-25
Python For Finance written by Yuxing Yan and has been published by Packt Publishing Ltd this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-04-25 with Computers categories.
A hands-on guide with easy-to-follow examples to help you learn about option theory, quantitative finance, financial modeling, and time series using Python. Python for Finance is perfect for graduate students, practitioners, and application developers who wish to learn how to utilize Python to handle their financial needs. Basic knowledge of Python will be helpful but knowledge of programming is necessary.
France The European Transformation Of The French Model
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Author : Andrea Szukala
language : en
Publisher:
Release Date : 2018
France The European Transformation Of The French Model written by Andrea Szukala and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Financial Econometrics
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Author : Svetlozar T. Rachev
language : en
Publisher: John Wiley & Sons
Release Date : 2007-03-22
Financial Econometrics written by Svetlozar T. Rachev and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-03-22 with Business & Economics categories.
A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.
A Check Up Of French Model
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Author : Jean-François Loué
language : en
Publisher:
Release Date : 1987
A Check Up Of French Model written by Jean-François Loué and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with categories.
Financial Management From An Emerging Market Perspective
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Author : Soner Gokten
language : en
Publisher: BoD – Books on Demand
Release Date : 2018-01-17
Financial Management From An Emerging Market Perspective written by Soner Gokten and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-01-17 with Computers categories.
One of the main reasons to name this book as Financial Management from an Emerging Market Perspective is to show the main differences of financial theory and practice in emerging markets other than the developed ones. Our many years of learning, teaching, and consulting experience have taught us that the theory of finance differs in developed and emerging markets. It is a well-known fact that emerging markets do not always share the same financial management problems with the developed ones. This book intends to show these differences, which could be traced to several characteristics unique to emerging markets, and these unique characteristics could generate a different view of finance theory in a different manner. As a consequence, different financial decisions, arrangements, institutions, and practices may evolve in emerging markets over time. The purpose of this book is to provide practitioners and academicians with a working knowledge of the different financial management applications and their use in an emerging market setting. Six main topics regarding the financial management applications in emerging markets are covered, and the context of these topics are "Capital Structure," "Market Efficiency and Market Models," "Merger and Acquisitions and Corporate Governance," "Working Capital Management," "Financial Economics and Digital Currency," and "Real Estate and Health Finance."
French Model
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Author : Cecil Barr
language : en
Publisher:
Release Date :
French Model written by Cecil Barr and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
The New Finance
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Author : Robert A. Haugen
language : en
Publisher:
Release Date : 2012
The New Finance written by Robert A. Haugen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Capital market categories.
A supplement for junior/senior and graduate level courses in Investments, Behavioral Finance Theory, and related courses. Teach the concepts that expose the inefficiency of capital markets. The New Finance is a comprehensive and organized collection of evidence and arguments that develop a persuasive case for an inefficient, complex and, at times, nearly chaotic stock market. This brief text also shows students how the complexity and uniqueness of investor interactions have important market pricing consequences. The fourth edition includes two new chapters on the real determinants of expected stock returns and the nature of stock volatility that the Financial Crisis of 2008 has exposed.
Financial Econometrics Modeling Market Microstructure Factor Models And Financial Risk Measures
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Author : G. Gregoriou
language : en
Publisher: Springer
Release Date : 2010-12-13
Financial Econometrics Modeling Market Microstructure Factor Models And Financial Risk Measures written by G. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-13 with Business & Economics categories.
This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.