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...

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Bibliographische Detailangaben
Hauptverfasser: Chen, Long 1969- (VerfasserIn), Zhang, Lu 1972- (VerfasserIn)
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

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