Neoclassical factors:
The cross section of returns can largely be summarized by the market factor and mimicking portfolios based on investment-to-assets and earnings-to-assets motivated from neoclassical reasoning. The neoclassical three-factor model can capture average return variations related to momentum and financial...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
13282 |
| Online-Zugang: | Volltext |
| Zusammenfassung: | The cross section of returns can largely be summarized by the market factor and mimicking portfolios based on investment-to-assets and earnings-to-assets motivated from neoclassical reasoning. The neoclassical three-factor model can capture average return variations related to momentum and financial distress anomalous to traditional factor models. The model also captures the relations of average returns with earnings-to-price, cash flow-to-price, book-to-market, dividend-to-price, long-term past sales growth, long-term prior returns, and market leverage. |
| Beschreibung: | Literaturverz. S. 33 - 36 |
| Beschreibung: | 56 S. graph. Darst. 22 cm |
Internformat
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| 500 | |a Literaturverz. S. 33 - 36 | ||
| 520 | 8 | |a The cross section of returns can largely be summarized by the market factor and mimicking portfolios based on investment-to-assets and earnings-to-assets motivated from neoclassical reasoning. The neoclassical three-factor model can capture average return variations related to momentum and financial distress anomalous to traditional factor models. The model also captures the relations of average returns with earnings-to-price, cash flow-to-price, book-to-market, dividend-to-price, long-term past sales growth, long-term prior returns, and market leverage. | |
| 700 | 1 | |a Zhang, Lu |d 1972- |e Verfasser |0 (DE-588)130536644 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
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Datensatz im Suchindex
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| id | DE-604.BV023593185 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:31Z |
| indexdate | 2024-07-09T21:25:14Z |
| institution | BVB |
| language | English |
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| physical | 56 S. graph. Darst. 22 cm |
| publishDate | 2007 |
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| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Chen, Long 1969- Verfasser (DE-588)130038415 aut Neoclassical factors Long Chen ; Lu Zhang Cambridge, Mass. National Bureau of Economic Research 2007 56 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13282 Literaturverz. S. 33 - 36 The cross section of returns can largely be summarized by the market factor and mimicking portfolios based on investment-to-assets and earnings-to-assets motivated from neoclassical reasoning. The neoclassical three-factor model can capture average return variations related to momentum and financial distress anomalous to traditional factor models. The model also captures the relations of average returns with earnings-to-price, cash flow-to-price, book-to-market, dividend-to-price, long-term past sales growth, long-term prior returns, and market leverage. Zhang, Lu 1972- Verfasser (DE-588)130536644 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13282 (DE-604)BV002801238 13282 http://papers.nber.org/papers/w13282.pdf kostenfrei Volltext |
| spellingShingle | Chen, Long 1969- Zhang, Lu 1972- Neoclassical factors |
| title | Neoclassical factors |
| title_auth | Neoclassical factors |
| title_exact_search | Neoclassical factors |
| title_exact_search_txtP | Neoclassical factors |
| title_full | Neoclassical factors Long Chen ; Lu Zhang |
| title_fullStr | Neoclassical factors Long Chen ; Lu Zhang |
| title_full_unstemmed | Neoclassical factors Long Chen ; Lu Zhang |
| title_short | Neoclassical factors |
| title_sort | neoclassical factors |
| url | http://papers.nber.org/papers/w13282.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT chenlong neoclassicalfactors AT zhanglu neoclassicalfactors |