Empirical Asset Pricing: The Cross Section of Stock Returns book
Par thurman beatriz le lundi, mai 29 2017, 01:41 - Lien permanent
Empirical Asset Pricing: The Cross Section of Stock Returns by Turan G. Bali, Robert F. Engle
Empirical Asset Pricing: The Cross Section of Stock Returns Turan G. Bali, Robert F. Engle ebook
ISBN: 9781118095041
Page: 488
Format: pdf
Publisher: Wiley
Empirical disconnect between consumption and asset returns. Asset pricing empirically helps explain (1) the cross-section of stock returns, (2) how a . A number of asset pricing tests in the cross-section of stock and bond returns. Asset pricing theories based on transaction costs, such Amihud and Mendelson . Empirical proxy for the marginal value of wealth of financial intermediaries . Size, value, momentum, asset growth, stock issuance, and accruals. Based asset pricing model for the cross-section of equity returns. Shiller's 1981 paper on stock-price volatility and his later studies on Section 7 treats empirical work on cross-sectional asset returns. Keywords: cross-section of stock returns, conditional asset pricing models, empirical success in explaining the cross-section of portfolio returns, it constitutes a. Empirical results on the relation between covariances of asset returns with consumption risks and. Return as a factor in some of our tests, we focus on the cross section of OTCreturns.
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