search query: @author He, J. / total: 6
reference: 3 / 6
| Author: | He, J. |
| Title: | Test of the relations among marketwide factors, firm-specific variables, and stock returns using a conditional asset pricing model |
| Journal: | Journal of Finance
1996 : DEC, VOL. 51:5, p. 1891-1908 |
| Index terms: | FINANCE ECONOMICS STOCK RETURNS |
| Language: | eng |
| Abstract: | In this article the authors generalize Harvey's empirical specification of conditional asset pricing models to allow for both time-varying covariances between stock returns and marketwide factors and time-varying reward-to- covariabilities. The model is then applied to examine the effects of firm size and book-to-market equity ratios. The authors find that the traditional asset pricing model with commonly used factors can only explain a small portion of the stock returns predicted by firm size and book-to-market equity ratios. |
SCIMA