Size, Value and Business Cycle Variables. The Three-Factor Model and Future Economic Growth: Evidence from an Emerging Market

The paper empirically investigates three different methods to construct factors and identifies some pitfalls that arise in the application of Fama-French’s three-factor model to the Pakistani stock returns. We find that the special features in Pakistan significantly affect size and value factors and...

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Bibliographic Details
Main Authors: Fahad Ali, RongRong He, YueXiang Jiang
Format: Article
Language:English
Published: MDPI AG 2018-02-01
Series:Economies
Subjects:
Online Access:http://www.mdpi.com/2227-7099/6/1/14

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