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