haku: @indexterm Shares / yhteensä: 249
viite: 107 / 249
| Tekijä: | Chang, S. J. |
| Otsikko: | A study of empirical return generating models: A market model, a multifactor model, and a unified model |
| Lehti: | Journal of Business Finance and Accounting
1991 : APR, VOL. 18:3, p. 377-391 |
| Asiasana: | FINANCIAL MODELS MACROECONOMIC MODELS FINANCIAL RISK PRICING SHARES RATE OF RETURN |
| Kieli: | eng |
| Tiivistelmä: | Alternative empirical models of stock return generation are investigated, focusing on the roles of market index, its residuals and a set of key macroeconomic variables within a linear factor structure. A single-index market model, a multifactor macro model, and a unified model are compared with respect to such issues as factor risk pricing, parameter stability, and prediction ability. The results indicate that although the macro factors chosen here jointly have good explanatory power, a typical market index appears to be empirically superior to a typical multifactor model. |
SCIMA