search query: @author He, J. / total: 6
reference: 5 / 6
| Author: | He, J. Ng, L. |
| Title: | Economic forces, fundamental variables and equity returns |
| Journal: | Journal of Business
1994 : OCT, VOL. 67:4, p. 599-610 |
| Index terms: | BUSINESS ECONOMICS VARIABLE COSTING FINANCE |
| Language: | eng |
| Abstract: | The authors investigate whether size and book-to-market values of equity (BM) are proxying for macroeconomic risks found in Chen, Roll, and Ross's (CRR) multifactor model or are measures of stocks' risk exposure to relative distress. The authors find that the role of size subsumes stocks' risk exposure associated with the CRR factors and that the CRR multifactor model does not explain the BM effect. The authors also find that size and BM are related to relative distress. |
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