The Fama and French Five Factor Model: Evidence from an Emerging Market
| المصدر: | المجلة العربية للإدارة |
|---|---|
| الناشر: | المنظمة العربية للتنمية الإدارية |
| المؤلف الرئيسي: | Alrabadi, Dima Waleed Hanna (Author) |
| مؤلفين آخرين: | Alrabadi, Hanna Waleed Hanna (Co-Author) |
| المجلد/العدد: | مج38, ع3 |
| محكمة: | نعم |
| الدولة: |
مصر |
| التاريخ الميلادي: |
2018
|
| الشهر: | سبتمبر |
| الصفحات: | 295 - 304 |
| DOI: |
10.21608/AJA.2018.17439 |
| ISSN: |
1110-5453 |
| رقم MD: | 941218 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Fama and French | Five Factor Model | Profitability | Investment Growth | Amman Stock Exchange
|
| رابط المحتوى: |
عدد مرات التحميل
11
| LEADER | 01910nam a22002417a 4500 | ||
|---|---|---|---|
| 001 | 1687290 | ||
| 024 | |3 10.21608/AJA.2018.17439 | ||
| 041 | |a eng | ||
| 044 | |b مصر | ||
| 100 | |a Alrabadi, Dima Waleed Hanna |e Author |9 556002 | ||
| 245 | |a The Fama and French Five Factor Model: |b Evidence from an Emerging Market | ||
| 260 | |b المنظمة العربية للتنمية الإدارية |c 2018 |g سبتمبر | ||
| 300 | |a 295 - 304 | ||
| 336 | |a بحوث ومقالات |b Article | ||
| 520 | |b This study tests the five-factor model that has recently developed by Fama and French (2015). We use daily data of 84 companies listed in Amman Stock Exchange (ASE)over the period (2011-2015). The results indicate that there is a statistically significant effect of the common risk factors, excess market return (Rm-Rf), small minus big (SMB), high minus low (HML), robust minus weak (RMW)and conservative minus aggressive (CMA)on the cross section of daily returns in ASE. However, the Fama and French five factor model fails to perfectly explain the cross section of stock returns in ASE over the study period. These results could be mainly justified by the fact that ASE is an emerging market in which many unexpected factors apart from fundamentals may interfere in affecting stock returns. | ||
| 653 | |a نماذج تسعير الأصول |a الاستثمار |a الربحية |a بورصة عمان | ||
| 692 | |b Fama and French |b Five Factor Model |b Profitability |b Investment Growth |b Amman Stock Exchange | ||
| 700 | |9 503639 |a Alrabadi, Hanna Waleed Hanna |e Co-Author | ||
| 773 | |4 الإدارة |6 Management |c 017 |e Arab Journal of Administration |f Al-Mağallah Al-ʿArabiyyaẗ Lil-Īdārah |l 003 |m مج38, ع3 |o 0345 |s المجلة العربية للإدارة |v 038 |x 1110-5453 | ||
| 856 | |u 0345-038-003-017.pdf |n https://aja.journals.ekb.eg/article_17439.html | ||
| 930 | |d y |p y | ||
| 995 | |a EcoLink | ||
| 999 | |c 941218 |d 941218 | ||
عناصر مشابهة
-
Fama and French Five-Factor Model: Evidence from Amman Stock Exchange
بواسطة: العبداللات، لؤي يوسف محمد منشور: (2019) -
Empirical Test of the Augmented Fama-French Four-Factor Model: The Case of Jordan
بواسطة: Karasneh, Mahmoud Mofleh منشور: (2011) -
Fama and French Three-Factor Model And the CAPM The Case of Amman Stock Exchange
بواسطة: عبدالعزيز، محمد عبدالناصر محمد منشور: (2017) -
An Empirical Test of fama and French Three-Factor Model in Amman Stock Exchange
بواسطة: Khasawneh, Maher Hussein منشور: (2010) -
Determinants of Stock Returns Using a Three-Factor Fama and French Model in Egypt
بواسطة: عبدالباقي، مصطفى محمد حمدان منشور: (2024)
