search query: @author Chang, E.C. / total: 1
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Author: | Chang, E.C. Pinegar, J.M. |
Title: | Stock market seasonals and prespecified multifactor pricing relations |
Journal: | Journal of Financial and Quantitative Analysis
1990 : DEC, VOL. 25:4, p. 517-533 |
Index terms: | STOCK MARKETS RETURN ON INVESTMENT DECISION MODELS |
Language: | eng |
Abstract: | Examination of risk-return related to a multifactor pricing model for stock market seasonals. Data. Empirical methods. Test results. Total sample risk premia. Stability. Factor betas. Chen, Roll, Ross multifactor model. Component contributions of factors to required rates of return. Five Tables illustrate the study. |
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