Does cross-sectional variances of Fama-French factors improve predictability of stock returns? : a research report submitted in partial fulfillment of the requirements for the degree of Master of Finance at Massey University

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Title

Does cross-sectional variances of Fama-French factors improve predictability of stock returns? : a research report submitted in partial fulfillment of the requirements for the degree of Master of Finance at Massey University

Content partner

Massey University

Collection

Massey Research Online

Description

This research report aims to lend a better understanding of the predictability of Fama-French factors (book-to-market ratio, price-earning ratio and size) to stock returns over a wider dimension by taking into consideration the influence from the cross-sectional variances of each factor. Unlike previous studies, which have been largely based on the joint effect of these factors in testing stock average returns, this study emphasizes how each factor's cross-sectional variance can improve predi...

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Format

Research paper

Research format

Thesis

Thesis level

Masters

Date created

2007

Creator

Luo, ShanShan

URL

https://hdl.handle.net/10179/10241

Related subjects

Stocks / Rate of return

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