Evaluation of portfolio returns in fama-french model using quantile regression under asymmetric laplace distribution

© Springer International Publishing Switzerland 2015. We applied the method of quantile regression under asymmetric Laplace distribution to predicting stock returns. Specifically, we used thismethod in the Fama and French three-factor model for the five industry portfolios to estimate the beta coeff...

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Bibliographic Details
Main Authors: Kittawit Autchariyapanitkul, Somsak Chanaim, Songsak Sriboonchitta
Format: Book Series
Published: 2018
Subjects:
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919344188&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/54359
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Institution: Chiang Mai University