Artykuł w czasopiśmie
Brak miniatury
Licencja
ClosedAccessDostęp zamknięty
 

Nonlinear dependencies in the Fama and French three-factor model

Uproszczony widok
dc.abstract.enThis article addresses the topic of nonlinear dependencies in the Fama and French three-factor model. Five time-series models, including nonlinear terms, are assessed using US and European data and compared with a benchmark linear model. The analysis found that nonlinear dependencies in the modified Fama and French three-factor model were statistically significant and provided additional explanatory power for the underlying return-generating process. However, these nonlinear dependencies are of secondary importance in the economic sense.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorPostek, Łukasz
dc.contributor.authorBandurski, Jakub
dc.date.accessioned2024-01-25T13:51:05Z
dc.date.available2024-01-25T13:51:05Z
dc.date.issued2023
dc.description.financePublikacja bezkosztowa
dc.description.number2
dc.description.volume52
dc.identifier.doi10.1080/10293523.2023.2179162
dc.identifier.issn1029-3523
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/113856
dc.identifier.weblinkhttps://www.tandfonline.com/doi/pdf/10.1080/10293523.2023.2179162
dc.languageeng
dc.pbn.affiliationeconomics and finance
dc.relation.ispartofInvestment Analysts Journal
dc.relation.pages106-131
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.titleNonlinear dependencies in the Fama and French three-factor model
dc.typeJournalArticle
dspace.entity.typePublication