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The examination of Fama-French Model during the Covid-19
This paper evaluates the performance of Fama-French models on US stock markets during the selected events by studying the R(2) of the models. We find that the influence of Dotcom bubble to the R(2) of growth model is statistically significant. The R(2) of growth portfolios decreases rapidly during t...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9760397/ https://www.ncbi.nlm.nih.gov/pubmed/36568730 http://dx.doi.org/10.1016/j.frl.2020.101848 |