Six-factor plus intellectual capital in the capital asset pricing model and excess stock return: Empirical evidence in emerging stock markets

Maharani, Astrid; Narsa, I Made

doi:10.1080/23322039.2023.2252652

Cited by 3 publications

(1 citation statement)

References 43 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Other examples of six-factor models include those of Roy (2021) and Zhou et al (2022), and the applications of arbitrage-based pricing models with seven or more risk factors are discussed in Bhatti and Mirza (2014); Maharani and Narsa (2023); Malhotra et al (2023) and Fang and Almeida (2019), for example. All of these references indicate the need to use a greater number of factors than the usual five factors of the Fama-French structure, indicating that models with a reduced number of factors may be incorrectly specified, requiring the type of corrections for omitted factors discussed in our article.…”

Section: Literature Reviewmentioning

confidence: 99%

Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market

dos Santos Rocha,

Laurini

2023

IJFS

View full text Add to dashboard Cite

The multifactor asset pricing model derived from the Fama–French approach is extensively used in asset risk premium estimation procedures. Even including a considerable number of factors, it is still possible that omitted factors affect the estimation of this model. In this work, we compare estimators robust to the presence of omitted factors in estimating the risk premium in the Brazilian market. Initially, we analyze the panel of asset returns using the mean group and common correlated effect estimators to detect the presence of omitted factors. We then compare the results with those obtained by a estimator robust to omitted variables, which uses a principal components approach to correct the estimation in the case of the omission of latent factors. We conclude that there is evidence of omitted factors, and the best predictor for the expect returns is the common correlated effects estimator.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market

dos Santos Rocha,

Laurini

2023

IJFS

View full text Add to dashboard Cite

show abstract

Superiority of six factor model in Indian stock market

Prasad,

Verma,

Bakhshi

et al. 2024

Cogent Economics & Finance

View full text Add to dashboard Cite

Bank performance – what are the main roles of the human capital and asset diversification? Evidence from France

Hemrit,

Kasraoui,

Feidi

2024

EMJB

View full text Add to dashboard Cite

PurposeThe aim of this paper is to determine whether the efficiency of banks’ human capital (HC) has moderating effects on the relationship between asset diversification and bank performance over the 2008–2020 period.Design/methodology/approachOur study considers generalized least squares estimation in fixed effects panel.FindingsResults show that banks with higher levels of HC and higher degree of diversification reduce bank profitability and efficiency. The results also depict that the financial stability-reducing effects of Income diversification decrease as bank HC efficiency increases. At the same time, the effects of income and asset diversity on financial stability change depending on the performance aspect.Originality/valuePrevious research on banks’ performance is concentrated on asset diversification. This article broadens to the HC, Asset diversification and the moderating effects of the profitability, stability and efficiency of French Banks.

show abstract

Six-factor plus intellectual capital in the capital asset pricing model and excess stock return: Empirical evidence in emerging stock markets

Cited by 3 publications

References 43 publications

Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market

Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market

Superiority of six factor model in Indian stock market

Bank performance – what are the main roles of the human capital and asset diversification? Evidence from France

Contact Info

Product

Resources

About