equity-returns

This project analyses the effect of one-year momentum factor on stock returns by computing CAPM, the Fama-French 3-factor model, and a 4-factor model accounting for momentum. The persistence of the momentum effect through the cross-sectional Fama/MacBeth regression is tested to assess whether this factor can explain test asset returns.

Un pays qui s’enrichit fait-il gagner davantage à ses actionnaires ? Comparer la croissance, les rendements et les prévisions dans seize pays.

Does the OECD production network predict equity returns once country and sector are controlled for? An answer that depends on the numeraire, with a process log of the defects found auditing the study's own repairs.