1. | Barillas F., Shanken J.A. (2015). Comparing Asset Pricing Models. NBER Working Paper (21771): http://ssrn.com/abstract=2700000. |
2. | Gibbons M.R., Ross S.A., Shanken J. (1989). A test of the efficiency of a given portfolio. Econometrica, 57, 1121–1152. |
3. | Chiah M., Chai D. Zhong A. (2015). A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia. Financial Markets & Corporate Governance Conference, SSRN Working Paper: http://ssrn.com/abstract=2557841. |
4. | Czapkiewicz A., Skalna I. (2010). The CAPM and the Fama-French Models in Warsaw Stock Exchange. Przegląd Statystyczny, 57 (4), 128–141. |
5. | Czapkiewicz A., Skalna I. (2011). Użyteczność stosowania modelu Famy i Frencha w okresach hossy i bessy na rynku akcji GPW w Warszawie. Bank i Kredyt, 3, 61–80. |
6. | Fabozzi F.J., Huang D., Wang J. (2016). What Difference Do New Factor Models Make in Portfolio Allocation? SSRN Working Paper: http://ssrn.com/abstract=2752822. |
7. | Fama E.F., MacBeth J. (1973). Risk, Return and Equilibrium: Empirical Tests. Journal of Political Economy, 81, 607–636. |
8. | Fama E.F., French K.R. (1992). The cross-section of expected stock returns. Journal of Finance, 47, 427–465. |
9. | Fama E.F., French K.R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56. |
10. | Fama E.F., French K.R. (1996). Multifactor explanation of asset pricing anomalies. Journal of Finance, 51, 55–84. |
11. | Fama E.F., French K.R. (1998). Value versus growth: The international evidence. Journal of Finance, 53, 1975–1999. |
12. | Fama E.F., French K.R. (2014). A Five-Factor Asset Pricing Model. Fama-Miller Working Paper: http://ssrn.com/abstract=2287202. |
13. | Fama E.F., French K.R. (2015a). Dissecting Anomalies with a Five-Factor Model. Fama-Miller Working Paper: http://ssrn.com/abstract=2503174. |
14. | Fama E.F., French K.R. (2015b). Choosing Factors. Fama-Miller Working Paper, Tuck School of Business Working Paper No. 2668236: http://ssrn.com/abstract=2668236. |
15. | Fama E.F., French K.R. (2015c). International Tests of a Five-Factor Asset Pricing Model. Fama-Miller Working Paper; Tuck School of Business Working Paper No. 2622782: http://ssrn.com/abstract=2622782. |
16. | Kowerski M. (2008). Trójczynnikowy model Famy i Frencha dla Giełdy Papierów Wartościowych w Warszawie. Przegląd Statystyczny, 55 (4), 131–148. |
17. | Nichol E., Dowling M.M. (2014). Profitability and Investment Factors for UK Asset Pricing Models, Economics Letters, Forthcoming: http://ssrn.com/abstract=2511166. |
18. | Sutrisno B., Ekaputra I.A. (2016), Empirical Tests of the Fama-French Five-Factor Asset Pricing Model in Indonesia and Singapore. SSRN Working Paper: http://ssrn.com/abstract=2781861. |
19. | Urbański S. (2007). Time-Cross-Section Factors of Rates of Return Changes on Warsaw Stock Exchange. Przegląd Statystyczny, 54 (2), 94–121. |
20. | Waszczuk A. (2013). The risk-based explanation of return patterns – Evidence from the Polish Stock Market. Emerging Markets Review, 15, 186–210. |
21. | Zaremba A. (2014). Cross-Sectional Asset Pricing Models for the Polish Market. SSRN Working Paper: http://ssrn.com/abstract=2396884. |