search query: @indexterm risk sharing / total: 46
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| Author: | Brennan, M. J. Chordia, T. Subrahmanyam, A. |
| Title: | Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. |
| Journal: | Journal of Financial Economics
1998 : SEP, VOL.49:3, p. 345-373 |
| Index terms: | Asset valuation Risk management Risk sharing |
| Language: | eng |
| Abstract: | The authors examine the relation between stock returns, measures of risk, and several non-risk security characteristics, including the book-to-market ratio, firm size, the stock price, the dividend yield, and lagged returns. Their primary objective is to determine whether non-risk characteristics have marginal explanatory power relative to the arbitrage pricing theory benchmark. When the analysis is repeated using the FF factors, they find that the size and book-to-market effects are attenuated, while the momentum and trading volume effects persist. |
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