The validity of Carhart model for shares in financial, banking and insurance businesses – A quantile regression approach
Vol. 130 No. 1C (2021), Original Article
Vol. 130 No. 1C (2021)

The validity of Carhart model for shares in financial, banking and insurance businesses – A quantile regression approach

Original Article
https://doi.org/10.26459/hueunijns.v130i1C.6458
Published 2021-09-30
Pham Le My*
Mathematics Department, University of Sciences, Hue University, 77 Nguyen Hue St., Hue, Vietnam
Thi Thanh Thuy Phan
Faculty of Engineering and Technology, Phu Yen University, 1 Nguyen Van Huyen St., Tuy Hoa City, Phu Yen, Vietnam
PDF (Vietnamese)

Keywords

quantile regression
momentum
OLS regression hồi quy phân vị
momentum
hồi quy OLS

How to Cite

1.
Phạm LM, Phan TTT. The validity of Carhart model for shares in financial, banking and insurance businesses – A quantile regression approach. hueuni-jns [Internet]. 2021Sep.30 [cited 2024Nov.22];130(1C):149-60. Available from: https://jos.hueuni.edu.vn/index.php/hujos-ns/article/view/6458
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Abstract

Quantile regression is a very powerful tool for financial research and risk analysis when a market encounters shocks. In this paper, we use the quantile regression method to assess the parameters of the Carhart model for four factors: market return, equity size, value size, and momentum and test the validity of this model for shares in the financial, banking and insurance businesses when shocking news appears in the financial market. The results show that when the financial market is unstable, the firm capitalization (size), the book-to-market ratio, and the momentum affect the stock returns.

https://doi.org/10.26459/hueunijns.v130i1C.6458
PDF (Vietnamese)

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