{"id":"https://openalex.org/W4224287074","doi":"https://doi.org/10.1145/3514262.3514334","title":"A Study on the Determinants of Stock Returns, in Comparison of the Fama-French Models","display_name":"A Study on the Determinants of Stock Returns, in Comparison of the Fama-French Models","publication_year":2022,"publication_date":"2022-01-14","ids":{"openalex":"https://openalex.org/W4224287074","doi":"https://doi.org/10.1145/3514262.3514334"},"language":"en","primary_location":{"id":"doi:10.1145/3514262.3514334","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3514262.3514334","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2022 13th International Conference on E-Education, E-Business, E-Management, and E-Learning (IC4E)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100557512","display_name":"Yuxiao He","orcid":null},"institutions":[{"id":"https://openalex.org/I157921009","display_name":"Ritsumeikan Asia Pacific University","ror":"https://ror.org/03ynn1n59","country_code":"JP","type":"education","lineage":["https://openalex.org/I157921009","https://openalex.org/I4390039241"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Yuxiao He","raw_affiliation_strings":["College of International Management, Ritsumeikan Asia Pacific University, Japan"],"affiliations":[{"raw_affiliation_string":"College of International Management, Ritsumeikan Asia Pacific University, Japan","institution_ids":["https://openalex.org/I157921009"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5046014017","display_name":"Duanwen Li","orcid":null},"institutions":[{"id":"https://openalex.org/I36399199","display_name":"Nanjing University of Science and Technology","ror":"https://ror.org/00xp9wg62","country_code":"CN","type":"education","lineage":["https://openalex.org/I36399199"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Duanwen Li","raw_affiliation_strings":["School of Electronic and Optical Engineering, Nanjing University of Science and Technology, China"],"affiliations":[{"raw_affiliation_string":"School of Electronic and Optical Engineering, Nanjing University of Science and Technology, China","institution_ids":["https://openalex.org/I36399199"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5042612391","display_name":"Yudi Wu","orcid":null},"institutions":[{"id":"https://openalex.org/I45129253","display_name":"University College London","ror":"https://ror.org/02jx3x895","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I45129253"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Yudi Wu","raw_affiliation_strings":["Department of Mathematics, University College London, UK"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University College London, UK","institution_ids":["https://openalex.org/I45129253"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5045384641","display_name":"Zhaowei Lu","orcid":null},"institutions":[{"id":"https://openalex.org/I55654194","display_name":"Inner Mongolia University of Technology","ror":"https://ror.org/05564e019","country_code":"CN","type":"education","lineage":["https://openalex.org/I55654194"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Zhaowei Lu","raw_affiliation_strings":["School of Economics and Management, Inner Mongolia University of Technology, China"],"affiliations":[{"raw_affiliation_string":"School of Economics and Management, Inner Mongolia University of Technology, China","institution_ids":["https://openalex.org/I55654194"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5112313120","display_name":"Lin Ju","orcid":null},"institutions":[{"id":"https://openalex.org/I38877650","display_name":"Zhengzhou University","ror":"https://ror.org/04ypx8c21","country_code":"CN","type":"education","lineage":["https://openalex.org/I38877650"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Lin Ju","raw_affiliation_strings":["International College, Zhengzhou University, China"],"affiliations":[{"raw_affiliation_string":"International College, Zhengzhou University, China","institution_ids":["https://openalex.org/I38877650"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5100557512"],"corresponding_institution_ids":["https://openalex.org/I157921009"],"apc_list":null,"apc_paid":null,"fwci":0.4063,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.61150401,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":94,"max":96},"biblio":{"volume":null,"issue":null,"first_page":"493","last_page":"499"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9584000110626221,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9584000110626221,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9254999756813049,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/multicollinearity","display_name":"Multicollinearity","score":0.8578702211380005},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7762885689735413},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6867969036102295},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.47951367497444153},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.4435625374317169},{"id":"https://openalex.org/keywords/regression-analysis","display_name":"Regression analysis","score":0.4300461411476135},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4054333567619324},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3425232172012329},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3112295866012573},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.274794340133667},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.11043301224708557}],"concepts":[{"id":"https://openalex.org/C189285262","wikidata":"https://www.wikidata.org/wiki/Q1332350","display_name":"Multicollinearity","level":3,"score":0.8578702211380005},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7762885689735413},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6867969036102295},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.47951367497444153},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4435625374317169},{"id":"https://openalex.org/C152877465","wikidata":"https://www.wikidata.org/wiki/Q208042","display_name":"Regression analysis","level":2,"score":0.4300461411476135},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4054333567619324},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3425232172012329},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3112295866012573},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.274794340133667},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.11043301224708557},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/3514262.3514334","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3514262.3514334","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2022 13th International Conference on E-Education, E-Business, E-Management, and E-Learning (IC4E)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":9,"referenced_works":["https://openalex.org/W1991153401","https://openalex.org/W2136120210","https://openalex.org/W2144992903","https://openalex.org/W2891966687","https://openalex.org/W2949632333","https://openalex.org/W3095491107","https://openalex.org/W3103531561","https://openalex.org/W3156552074","https://openalex.org/W4232948727"],"related_works":["https://openalex.org/W3188410990","https://openalex.org/W2751101869","https://openalex.org/W3163084994","https://openalex.org/W2158147629","https://openalex.org/W2609817222","https://openalex.org/W3158082840","https://openalex.org/W4289981664","https://openalex.org/W2967562692","https://openalex.org/W2992912158","https://openalex.org/W3200806133"],"abstract_inverted_index":{"This":[0,125],"paper":[1],"mainly":[2],"focuses":[3],"on":[4,69,74,90,103],"the":[5,15,62,78,80,91,122],"determinants":[6],"of":[7,44,77,112,129],"stock":[8],"returns.":[9],"The":[10,109],"proposed":[11],"method":[12],"to":[13,18,22,98],"solve":[14],"problem":[16],"is":[17,118],"use":[19],"R":[20],"Studio":[21],"build":[23],"3-factors":[24,38,63],"and":[25,36,39,58,65,84,120],"5-factors":[26,40,66],"Fama-French":[27],"models.":[28],"We":[29],"chose":[30],"6":[31,92,114,131],"portfolios":[32],"from":[33],"Yahoo":[34],"Finance":[35],"built":[37],"models":[41],"for":[42],"each":[43],"them.":[45],"Through":[46],"significance":[47,123],"test":[48],"(p-value,":[49],"parameter":[50],"coefficients,":[51],"R2,":[52,54],"adjusted":[53],"confidence":[55],"intervals,":[56],"etc)":[57],"multicollinearity":[59],"checking,":[60],"both":[61],"model":[64,67],"work":[68],"these":[70,104],"six":[71],"portfolios.":[72,93],"Based":[73],"our":[75],"analysis":[76],"models,":[79],"market":[81],"excess":[82],"return":[83],"value":[85],"premium":[86,95,117],"have":[87,99],"larger":[88],"impact":[89,102],"Size":[94],"also":[96],"seems":[97],"a":[100],"great":[101],"portfolios,":[105],"except":[106],"portfolio":[107,113,130],"6.":[108],"regression":[110],"coefficient":[111],"over":[115],"size":[116],"small":[119],"failed":[121],"test.":[124],"may":[126],"be":[127],"because":[128],"itself.":[132]},"counts_by_year":[{"year":2023,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}