Product DescriptionThis digital document is a journal article from Journal of international financial markets, Institutions and Money, published by Elsevier in 2004. The article is delivered in HTML format and is available on Amazon. com Media Library immediately after purchase. You can view it with any web browser. Description: This document tests the Fama-French three factor model pricing increased by a factor of momentum in the Canadian securities market. Using Fama French methodology for the construction of the risk factors, achieved average annual premium for the market, size, book-to-market and risk factors for stroke are respectively equal to 4. 52, 5. 08, 5. 09 and 16. 07%, during July 1960-April 2001 period. The results for the three zero-investment portfolios are in line with those obtained by Liew and Vassalou [Journal of Financial Economics 57 (2000) 221] for the period 1976-1996, although the authors use to build sequential type of risk factors. The main evidence of regularities in the behavior of the factors are: the factor returns are considerably larger in size in January than in other months, while yields are always important driving factor, except in January. Book-to-yield market factors are positive (negative) and high (barely) significant in down markets (above market). Finally, the packaging on the environment in relation to monetary policy, we find that SMEs and HML premiums are only significant in an environment of expansion.

Evidence to support the four-factor pricing model from the Canadian stock market