Analysis of the five-factor asset pricing model with wavelet multiscaling approach

The Study of Events Approach Applied to the Impact of Mergers and Acquisitions on the Performance of Consulting Engineering Companies

“…Considering the range of the approach of our article, we recognize that further investigations can be carried out to understand the mechanisms of transmission of M&A announcements on market returns of other companies in the sector, analyzing whether there is financial contagion on the market returns of other companies. Bera et al [29] find that the effects of risk factors on average returns vary over time scales due to their coefficient magnitudes and statistical significance, based on the multi-stage wavelet approach, for the period July 1963 to February 2018. This would be a relevant contribution to the construction and management of portfolio and risk management associated with the sector.…”

Review of Asset Pricing Theory and Empirical Research Results

“…Because different countries and regions have different market…. Bert AK, Uyar U, and Uyar SK [38] tested the relationship between average return and risk factors in the FF five-factor model through wavelet multiscale analysis, and the results showed that all risk factors in the five-factor model were not redundant.Fama and French [39] tested the applicability of the five-factor model in the global stock market, and the results showed that the five-factor model performed well in the European, North American and Asia-Pacific markets, except for the lack of effectiveness in the Japanese market.Mosoeu Selebogo and Kodongo Odeno [40] used the Fama-French five-factor model and generalized moment regression to analyze the data from January 2010 to December 2015, and the results showed that the factor of profitability was the most effective factor to explain the cross-section of stock returns in emerging markets.But the five-factor model does poorly for country-specific portfolios and geographically diversified portfolios.Li Shuai and Zhang Qiang [41] used the Fama-French five-factor model to study the stocks of the pharmaceutical industry in the United States before and after the COVID-19, and the results showed that the epidemic did not have a significant impact on the pharmaceutical industry in the United States, and the explanatory power of the Fama-French five-factor model on the industry was strengthened after the end of the epidemic.Jose Luis Miralles-Quiros, Maria Mar Miralles-Quiros, Jose Manuel Nogueira [42] A selection of ETFs (exchangetraded funds) that are traded on the Nasdaq,Using the Fama-French five-factor model, this paper studies the latest content of the framework of socially responsible investment --SDG assets. The results show that investors in this field should focus on the SDG such as health, industry, innovation and infrastructure.…”

Impacts of COVID-19 on U.S. Apparel Industry Based on the Fama-French Five Factor Model

“…For long-term investments, there was a period of unexpected cash flow increase in large-value investment portfolios. In different time frames, the active (conservative) portfolio had the lowest (maximum) risk level [4]. Dhaoui and Bensalah used the U.S. stock market (NYSE) data to investigate the asset valuation predictive power of investor sentiment.…”