Home > Search Results: Lu, Shuhong
Search:
Search Tips :: Advanced Search
Search collections:
Sort by: Display results: Output format:
National Repository of Grey Literature 1 records found  Search took 0.01 seconds. 
Can a Dual-beta Five-Factor Model Explain Stock Market Variation in CEE?
 Lu, Shuhong ; Čech, František (advisor) ; Chondrogiannis, Ilias (referee) ; Paulus, Michal (referee)
The study applies a dual-beta five-factor model to investigate how return is correlated with market factor, size, value, profitability and investment factors in the CEE region. Dual betas are employed in a pooled regression to account for different behaviour in different market conditions. The results show that market factor is significant across the sample period from 2003 to 2017, and the coefficient of the market factor is lower in bearish market and higher in bullish market. By employing dual betas, the explanatory power of a model has increased. However, the effect is limited, and we do not recommend using the dual-beta model due to the loss of simplicity. Post-regression diagnosis has confirmed the appropriateness of using our model by checking the key assumptions of Ordinary Least Square. Limitations are presented at the end to suggest future study.
Detailed record

Interested in being notified about new results for this query?
Subscribe to the RSS feed.
Digital Repository :: Search :: Submit :: Personalize :: Help
Powered by Invenio v1.1.2
Maintained by admin.invenio@techlib.cz
This site is also available in the following languages:
Česky  English