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Les modèles d'évaluation des actifs financiers et les co-moments d'ordre trois et quatre
Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2004
In this study, we test the size and the book to market effects in explaining stock returns with co-skewness and co-kurtosis on the French Stock Market over July 1976 to June 2001 period. Results of time series regressions of monthly portfolio returns are consistent with the Fama and French...
Persistent link: https://www.econbiz.de/10010708428
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Les modèles d'évaluation des actifs financiers et les co-moments d'ordre trois et quatre
Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2006
In this study, we test the size and the book to market effects in explaining stock returns with co-skewness and co-kurtosis on the French Stock Market over July 1976 to June 2001 period. Results of time series regressions of monthly portfolio returns are consistent with the Fama and French...
Persistent link: https://www.econbiz.de/10010905281
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Size and book to market effects: further evidence from the French case
Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2003
The objective of this paper is to study the market, SMB, HML and The leverage factors inexplaining cross-sectional returns.We provide the first empirical analysis of Ferguson and Shockley (2003) theoretical frame work on the French stock market. Book to market and size, variables which a...
Persistent link: https://www.econbiz.de/10010707328
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Size and book to market effects vs co-skweness and co-kurtosis in explaining stock returns
Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2005
In this study, we test the size and the book to market effects in explaining stock returns with co-skewness and co-kurtosis on the French Stock Market over July 1976 to June 2001 period. Results of time series regressions of monthly portfolio returns are consistent with the Fama and French...
Persistent link: https://www.econbiz.de/10010707540
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Size and book to market effects: further evidence from the French case
Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2004
The objective of this paper is to study the market, SMB, HML and The leverage factors inexplaining cross-sectional returns.We provide the first empirical analysis of Ferguson and Shockley (2003) theoretical frame work on the French stock market. Book to market and size, variables which a...
Persistent link: https://www.econbiz.de/10010708283
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The capital asset pricing model and the three factor model of Fama and French revisited in the case of France
Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2002
Size and book to market ratio are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that these effects are proxies for factors of risk. In this study, we try to test the three factor model of Fama and French and the Capital Asset Pricing Model on the...
Persistent link: https://www.econbiz.de/10011072671
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Explaining the Cross-Section of Stock Returns in France : Characteristics or Risk Factors?
Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2007
In this study, we test the three factor model of Fama and French and the Characteristic Model of Daniel and Titman (1997) on The French Stock Market over July 1976 to June 2001 period. Stocks are ranked by size and book to market ratios and then by ex-ante HML, SMB or Mkt loadings. The...
Persistent link: https://www.econbiz.de/10011166402