Tag: value-creation pricing factor

The Value-Creation Pricing Factor

Master’s Thesis: Improve the Fama-French Five Factor Model ? The Value-Creation Pricing Factor is my Master’s thesis for concluding the program of Financial Economics at the Erasmus School of Economics, Erasmus University Rotterdam. It’s a supplement to the Fama-French five factor asset pricing model. Replacing Value with Value-Creation-To-Market-Equity provides a significant reduction of alpha (a…
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