The present study investigated whether the crypto market is a safe haven. The study argues
that during the first wave of the COVID-19 crisis, gold and oil, as typical global commodities …

The present study compares the Fama-French three factor coefficient estimates obtained
from both ordinary least squares (OLS) and quantile regression for 25 size-value sorted …

This paper tests the validity and accuracy of the Capital Asset Pricing Model and the Fama-
French Three-Factor Model, by predicting the variation in excess portfolio returns on the …

As the companies have grown larger, the salmon farming industry has received increased
attention from investors, financial analysts and other representatives of the financial …

This article develops a model-based method to detect booms and busts in the Euro area
housing market. A model is constructed and tested, whereby the user cost rate, a …

The study investigates if the three-factor model explains variation in expected returns of
stocks on the Nigerian Stock Exchange (NSE); and also ascertains if the four-factor model …

Firm characteristics based risk factors constitute a large part of the asset pricing literature.
These characteristic based factors are constructed using the extreme quantiles of the sorted …

This study examines the asymmetric impact of systemic liquidity on asset prices across
market states. We use time-series conditional quantile regressions to estimate an otherwise …

This paper examines the asymmetric relationship between price and implied volatility and
the associated extreme quantile dependence using a linear and non-linear quantile …

The present study adds to the sparse published Swedish literature on the performance of the
Fama and French Three-Factor model on the Swedish stock market. The ability of the model …