Economics, Econometrics and Finance
8 years ago

New study reveals better way to predict stock returns in Romania!

Romanian Journal of Economic Forecasting
MODELING PORTFOLIO RETURNS ON BUCHAREST STOCK EXCHANGE USING THE FAMA-FRENCH MULTIFACTOR MODEL
Andrei Anghel, Dalina Dumitrescu, Cristiana Tudor

Paper Summary

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The Fama-French three-factor model was used to analyze portfolio returns on the Bucharest Stock Exchange. The model was found to better explain returns than the traditional model, with higher accuracy and passing standard tests. This study provides valuable insights for investors and demonstrates the model's effectiveness in understanding stock market trends.