This research compares twelve different factor models in explaining variations in US sector
returns between Nov. 1989 and Feb. 2014 using the quantile regression approach …

Sažetak This article examines the sensitivity of US sector equity indices to changes in
nominal interest rates and in the corresponding principal components (level, slope and …

This paper analyses the sensitivity of the most relevant European financial institutions'
returns to changes in selected risk factors between October 2003 and December 2018. In …

Purpose The purpose of this paper is to compare the performance of various multifactor
asset pricing models across ten emerging and developed markets. Design/methodology …

We examine investor behavior under interest and inflation risk in different scenarios. To that
end, we analyze the relation between stock returns and unexpected changes in nominal and …

The purpose of this study is to evaluate the asset pricing models for Borsa Istanbul. Within
this scope, we apply Capital Asset Pricing Model, Fama-French Three Factor Model, and …

This paper studies in depth the sensitivity of Spanish companies' returns to changes in
several risk factors between January 2000 and December 2018 using the quantile …

This paper focuses on analysing the sensitivity and behaviour of some of the leading
insurers currently operating in the Euro area to changes in benchmark interest rates. The …

The paper seeks to identify the contribution of turnover of listed companies in the economic
development of the regions where they operate and the financial factors that influence their …

This paper estimates US industries' ability to transmit inflation shocks to the prices of their
products and services (flow-through capability, FTC) and the stock duration (interest rate …