Meet AREWA AJIBOLA , an Academic Staff of Lagos State University.
Financial Asset Pricing, Modeling And Econometrics
Senior Lecturer
Banking and Finance
At the Banking And Finance department office
Appointment on Visitation important
Topic: Asymmetric Panel GARCH-in-Mean Model For SSA, BRICS And G7 Stock Markets: Application To Risk-Return Relationship
Description:
| # | Certificate | School | Year |
|---|---|---|---|
| 1. | Ph.D (Finance & Banking) | University of Port-Harcourt | 2014 |
An Empirical Test of Augmented of Five Factor Fama and French Model
The earlier pricing equations starting from CAPM to FF3FM lack additional information, and often they are explanatory power is weak. Fama and French 2014, developed a new framework that extents FF3FM by including profitability and investment factor to the three factors model which was originally introduced by this three authors. However, the five factor model of Fama and French failed in many tests. This could be traced to the fact that some other important factors are missed out. Therefore, this research is to provide a pricing identification that extends the five-factor of Fama and French Model 2014, for the purpose of testing additional risk premiums asymmetric risk premium in equity market. The Asymmetric factors are the additional factors that will be extracted by constructing additional mimicking portfolios. This enables me to generate Risk factor and premium factor, which are now included in FF5FM specification to have a new pricing specification that could be referred to as seven-factor models.
AREWA AJIBOLA is a Senior Lecturer at the Department of Banking and Finance
AREWA has a Ph.D in Finance & Banking from University of Port-Harcourt
