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Tekijä: | Subrahmanyam, A. |
Otsikko: | The cross-section of expected stock returns: What have we learnt from the past twenty-five years of research? |
Lehti: | European Financial Management
2010 : JAN, VOL. 16:1, p. 27-42 |
Asiasana: | markets efficiency stock returns rate of return literature review research |
Kieli: | eng |
Tiivistelmä: | This article reviews the recent literature on cross-sectional predictors of stock returns. Predictive variables used originate from informal arguments, alternative tests of risk-return models, behavioural biases, and frictions. More than 50 variables are used to predict returns. Yet, the overall picture remains unclear, because there is more to be done to consider the correlational structure amongst the variables etc. |
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