Concepedia

Multifactor Benchmark Models

Multifactor Benchmark Models is a class of asset pricing models that extends the market model by incorporating multiple systematic risk factors—such as size, value, momentum, and macroeconomic variables—to more accurately estimate expected returns and assess abnormal performance in event study analysis.

42

Publications

4.6K

Citations

106

Authors

80

Institutions

Publications per year

2017–2026

16

Parents

Publications

42

Mental Accounting, Loss Aversion, and Individual Stock Returns

Nicholas Barberis · The Journal of Finance · 2001 · 1K citations

, , +17

Financial Intermediaries and the Cross‐Section of Asset Returns

Tobias Adrian, Erkko Etula, Tyler Muir · The Journal of Finance · 2014 · 824 citations

, , +17

Mutual Fund's <i>R</i>2 as Predictor of Performance

Yakov Amihud, Ruslan Goyenko · Review of Financial Studies · 2012 · 495 citations

, , +13

The Determinants of Mutual Fund Performance: A Cross-Country Study

Miguel A. Ferreira, Aneel Keswani, António F. Miguel et al. · European Finance Review · 2012 · 436 citations · Full text

, , +16

Glamour Acquirers, Method of Payment and Post‐acquisition Performance: The UK Evidence

Sudi Sudarsanam, Ashraf A. Mahate · Journal of Business Finance &amp Accounting · 2003 · 252 citations

, , +14

1–5 of 42

Authors

106

  1. SB
    Sofía B. Ramos

    Iscte – Instituto Universitário de Lisboa, Portugal

    3 publications · 581 citations

    3

    h-index

  2. AF
    António F. Miguel

    Iscte – Instituto Universitário de Lisboa, Portugal

    3 publications · 581 citations

    3

    h-index

  3. MA
    Miguel A. Ferreira

    European Corporate Governance Institute, Belgium

    3 publications · 581 citations

    3

    h-index

  4. AK
    Aneel Keswani

    City, University of London, United Kingdom

    2 publications · 561 citations

    2

    h-index

  5. MX
    Matthias X. Hanauer

    Technical University of Munich, Germany

    2 publications · 72 citations

    2

    h-index

1–5 of 106

Institutions

80

  1. Northwestern University

    Evanston, United States

    2 h-index

    2 publications

    207 citations

  2. Tilburg University

    Tilburg, The Netherlands

    2 h-index

    4 publications

    340 citations

  3. Ecole des Hautes Etudes Commerciales du Nord

    Roubaix, France

    2 h-index

    4 publications

    219 citations

  4. University of Chicago

    Chicago, United States

    2 h-index

    2 publications

    1.1K citations

  5. European Corporate Governance Institute

    Brussels, Belgium

    2 h-index

    2 publications

    145 citations

  6. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    2 h-index

    4 publications

    134 citations

  7. University of Liège

    Liège, Belgium

    2 h-index

    8 publications

    282 citations

  8. Iscte – Instituto Universitário de Lisboa

    Lisbon, Portugal

    2 h-index

    5 publications

    1.9K citations

1–8 of 80

Venues

  1. SSRN Electronic Journal

    Repository · 6 publications · 257 citations

    6

    h-index

  2. The Journal of Finance

    4 publications · 2K citations

    4

    h-index

  3. Journal of Business Finance &amp Accounting

    2 publications · 269 citations

    2

    h-index

  4. Review of Financial Studies

    2 publications · 552 citations

    2

    h-index

  5. RePEc: Research Papers in Economics

    Repository · 2 publications · 69 citations

    2

    h-index

1–5