The formulation of the four factor model when a considerable proportion of firms is dual-listed

Garyn-Tal, Sharon; Lauterbach, Beni

doi:10.1016/j.ememar.2015.05.006

Cited by 8 publications

(4 citation statements)

References 22 publications

(26 reference statements)

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“…The OLI coefficient is positive and highly statistically significant in all of these specifications. 38 In another robustness test, not tabulated, we use preliminary calculations of a four-factor model for Israel derived by Garyn-Tal and Lauterbach (2015) and find that our results remain unchanged in this specification as well.…”

Section: Robustness Testsmentioning

confidence: 82%

Incentive Fees and Competition in Pension Funds: Evidence from a Regulatory Experiment in Israel

et al. 2015

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Section: Robustness Testsmentioning

confidence: 82%

Incentive Fees and Competition in Pension Funds: Evidence from a Regulatory Experiment in Israel

et al. 2015

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“…The present study uses Carhart four-factor model to estimate systematic risk (Carhart, 1997). The four-factor model, which extends Fama-French three-factor model based on the capital asset pricing model framework, has become the standard in empirical asset pricing (Garyn-Tal and Lauterbach, 2015) and the four-factor model has been widely used in recent studies (Kim and Kim, 2014). The model is presented as follows: …”

Section: Methodsmentioning

confidence: 99%

Internationalization as a determinant of systematic risk: the role of restaurant type

Jung

Dalbor

Lee³

2018

IJCHM

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Purpose The purpose of this study is twofold: to investigate the relationship between restaurant firms’ internationalization and systematic risk, and to further examine the relationship between internationalization and systematic risk based on the type of restaurant firm (i.e. limited-service vs full-service restaurants). Design/methodology/approach This study analyzes data from US-based publicly traded restaurant firms by estimating systematic risk based on the Carhart four-factor model and by performing a two-way random-effects model. Findings Findings support not only the risk-reduction effect of internationalization on systematic risk but also the moderating effect of the role of restaurant type on the relationship between internationalization and systematic risk. More specifically, the risk-reduction effect of internationalization on systematic risk is greater for limited-service than full-service restaurants. Practical implications The findings of this study can provide restaurant executives with more confidence in pursuing internationalization as part of their risk management strategy, acknowledging that more international operations could mitigate restaurant firms’ systematic risk. More specifically, limited-service restaurants can more significantly enjoy the risk-reduction benefits by increasing their international operations than full-service restaurants based on the findings of this study. Furthermore, risk-averse investors could consider purchasing shares of limited-service multinational restaurants’ stocks to enjoy more risk-reduction benefits. Originality/value By focusing on the restaurant industry with consideration for the restaurant type, this study provides more tailored recommendations for implementing internationalization strategies with regard to risk management.

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“…For the calculation of the momentum factor, we follow the Carhart (1997) measure. For each month t , we arrive at the holding period of stocks and construct it from the month t – 12, t – 2 (Tal and Lauterbach, 2015) [5] The portfolios are bifurcated at the end of each month based on the size breakpoints. The cumulative returns are sorted from highest to lowest returns.…”

Section: Datamentioning

confidence: 99%

Do mutual fund managers' possess style liquidity timing abilities?

Alam

Ansari

2020

IJOEM

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PurposeThis paper investigates the style timing and liquidity style timing vis-à-vis the market, size, value and momentum factors of the actively managed Indian equity mutual funds.Design/methodology/approachWe examine the style timing of the funds using the augmented Carhart four-factor model by incorporating timing measures (Treynor and Mazuy; Henriksson and Merton). Based on this, the study explores the four-factor liquidity and volatility style timing exhibited by fund managers. The sample is from April 2000 to March 2018 and spans the volatile 2008 subprime economic crises. The sample comprised 182 actively managed equity funds from various sizes and was considered to be a well-diversified sample.FindingsThe results of our study provide strong evidence of market liquidity timing in India. No other style timing skills are observed in our analysis. Our results also imply that the fund managers might misidentify size timing as market timing if integrated liquidity timing measures are not employed, leading to false conclusions.Research limitations/implicationsThe findings of our study imply that the fund managers might misidentify size timing as market timing if integrated liquidity timing measures are not employed, leading to false conclusions.Originality/valueThis study, to our knowledge, is the first attempt to investigate the portfolio-based style timing in the Indian context.

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The formulation of the four factor model when a considerable proportion of firms is dual-listed

Cited by 8 publications

References 22 publications

Incentive Fees and Competition in Pension Funds: Evidence from a Regulatory Experiment in Israel

Incentive Fees and Competition in Pension Funds: Evidence from a Regulatory Experiment in Israel

Internationalization as a determinant of systematic risk: the role of restaurant type

Do mutual fund managers' possess style liquidity timing abilities?

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