Factor-Based Investing in Market Cycles: Fama–French Five-Factor Model of Market Interest Rate and Market Sentiment
YS Kuo, JT Huang - Journal of Risk and Financial Management, 2022 - mdpi.com
This study explores risk–reward patterns in the US stock market and establishes optimal
factor-based investing using the Fama–French five-factor model through market cycles …
factor-based investing using the Fama–French five-factor model through market cycles …
[HTML][HTML] A Segmented Market Model Incorporating Endogenous Policy Risk
J Ji - Asian Economics Letters, 2023 - ael.scholasticahq.com
This paper develops a segmented market model to incorporate policy risk. Credit risks and
information inertia are considered within the model's framework. The model shows that a …
information inertia are considered within the model's framework. The model shows that a …