haku: @indexterm capital asset pricing / yhteensä: 356
viite: 13 / 356
| Tekijä: | Moskowitz, T. J. |
| Otsikko: | An analysis of covariance risk and pricing anomalies |
| Lehti: | Review of Financial Studies
2003 : SUMMER, VOL. 16:2, p. 417-457 |
| Asiasana: | Capital asset pricing Return on investment Risk management |
| Kieli: | eng |
| Tiivistelmä: | The author examines the link between several well-known asset pricing "anomalies" and the covariance structure of returns. He finds size, book-to-market, and momentum strategies exhibit a strong, weak, and negligible relation to coveriance risk, respectively. |
SCIMA