The robustness of the Fama-French four-factor model: Evidence from the Philippine stock market

• Main Authors: Balino, Pamela, Go, Kathilynne, Labrador, Javier, Ong, Mary
• Format: text
• Language: English
• Published: Animo Repository 2010
• Subjects: Stock exchanges > Philippines; Stocks > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/18501
• Institution: De La Salle University

This paper aims to study the applicability of the Fama-French model in the Philippine stock market. Specifically, the researchers focused on verifying the existence of market anomalies such as size, value, and momentum effect by employing a time series regression. Also, the researchers intend to com...