학술논문
Four empirical essays on asset pricing models.
Document Type
Theses
Author
Source
Dissertation Abstracts International; Dissertation Abstract International; 66-08A.
Subject
Language
English
Abstract
Summary: In Essay IV we construct six FF portfolios for Canadian stocks and test them for the regime change over a period from 1993 to 2003. Similar to the findings of US stock market we find evidence of regime change for the Canadian stock market in the year 2000. We also find a sharp decrease in the R 2 of the FF three-factor model before and after 1999 period (the R 2 drops from .81 to .61).