Frank K. Li

Independent

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

On the Validity of the Augmented Fama-French Four-Factor Model

Number of pages: 27 Posted: 17 Feb 2009
Keith Lam, Frank K. Li and Simon M. S. So
University of Macau, Independent and University of Macau
Downloads 1,334 (16,199)

Abstract:

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Fama-French, four-factor model, momentum, up and down markets, seasonality

2.

The Risk Premiums of the Four-Factor Asset Pricing Model in the Hong Kong Stock Market

Number of pages: 35 Posted: 13 May 2014
Keith Lam and Frank K. Li
University of Macau and Independent
Downloads 80 (341,815)
Citation 1

Abstract:

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Fama and French; four-factor model; risk premium; seasonality