Various models are built to estimate mutual fund performance. However, most of these articles only deal with one, or at most two different performance models. This project will compare the most basic single factor Capital Asset Pricing Model (CAPM) as well as Fama and French model (1992,1996) add proxies for size and book-to-market; the Carhart… Continue reading Capital Asset Pricing Model (CAPM)
Tag: My research
Dynamic linkages between the US stock market and the stock markets of European economies
Abstract Understanding the degree of interdependence between national stock markets and the nature of their relationship (market dominance, a transmission mechanism, and degree of responsiveness to information flows) have implications for market stability and international diversification (Eun and Shim, 1989; Chowdhury, 1994). In this paper, I will empirically examine the short-run relationships between the US… Continue reading Dynamic linkages between the US stock market and the stock markets of European economies
Minh's blog 