Noise-augmented asset pricing models : evidence from the Greater China stock markets during two major financial crises
The main contribution of the thesis is the construction of noise-augmented asset pricing models. These models are the extension of Fama & French Three Factor Model (1992,1993) and subsequent improved version of Five Factor Model (2015), by adding a behavourial factor - investor sentiment (INVSEN...
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University of Nottingham
2017
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.724860 |