haku: @author Karceski, J. / yhteensä: 4
viite: 4 / 4
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Tekijä: | Chan, L. Karceski, J. Lakonishok, J. |
Otsikko: | The risk and return from factors |
Lehti: | Journal of Financial and Quantitative Analysis
1998 : JUN, VOL. 33:2, p. 159-188 |
Asiasana: | RISK RETURN ON INVESTMENT FINANCIAL ANALYSIS |
Kieli: | eng |
Tiivistelmä: | The ability to identify which factors best capture systematic return covariation is central to applications of multifactor pricing models. This paper uses a common data set to evaluate the performance of various proposed factors in capturing return comovements. Factors associated with the market, size, past return, book-to-market, and dividend yield help explain return comovement on and out-of-sample basis. Except for the default premium and the term premium, macroeconomic factors perform poorly. |
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