The Cross Section Of Expected Stock Returns
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The Cross Section Of Expected Stock Returns Revisited
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Author : Jean-Paul Sursock
language : en
Publisher:
Release Date : 2000
The Cross Section Of Expected Stock Returns Revisited written by Jean-Paul Sursock and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
The Cross Section Of Expected Stock Returns
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Author : Eugene F. Fama
language : en
Publisher:
Release Date : 1992
The Cross Section Of Expected Stock Returns written by Eugene F. Fama and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Rate of return categories.
The Extreme Bounds Of The Cross Section Of Expected Stock Returns
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Author : J. Benson Durham
language : en
Publisher:
Release Date : 2002
The Extreme Bounds Of The Cross Section Of Expected Stock Returns written by J. Benson Durham and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Stocks categories.
Another Look At The Cross Section Of Expected Stock Returns
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Author : S. P. Kothari
language : en
Publisher:
Release Date : 1994
Another Look At The Cross Section Of Expected Stock Returns written by S. P. Kothari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Stocks categories.
The Cross Section Of Stock Returns
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Author : Stijn Claessens
language : en
Publisher: World Bank Publications
Release Date : 1995
The Cross Section Of Stock Returns written by Stijn Claessens and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Rate of return categories.
Seasonality In The Cross Section Of Expected Stock Returns
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Author : Steven L. Heston
language : en
Publisher:
Release Date : 2005
Seasonality In The Cross Section Of Expected Stock Returns written by Steven L. Heston and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
This paper introduces seasonality into a model of expected stock returns. We confirm previous findings that there is no evidence for cross-sectional variation in expected stock returns when we restrict the means to be constant throughout the year. Yet, we show there is substantial variation when considering each month of the year separately. Applying a seasonal structure we estimate an annualized standard deviation of 13.8%. There is strong evidence stocks have distinct expected returns in January, February, ... December. The estimated seasonal variation in expected returns is positive in every calendar month and especially high during October, December, and January. This structure is independent of industry, size, and earnings announcements. These results support the inclusion of seasonal structure into asset-pricing models.
The Cross Section Of Expected Stock Returns
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Author : Jonathan Lewellen
language : en
Publisher:
Release Date : 2014
The Cross Section Of Expected Stock Returns written by Jonathan Lewellen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
On The Cross Section Of Expected Stock Returns
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Author :
language : en
Publisher:
Release Date : 2006
On The Cross Section Of Expected Stock Returns written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Capital assets pricing model categories.
Empirical Asset Pricing
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Author : Turan G. Bali
language : en
Publisher: John Wiley & Sons
Release Date : 2016-02-26
Empirical Asset Pricing written by Turan G. Bali and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-26 with Business & Economics categories.
“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Another Look At The Cross Section Of Expected Stock Returns
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Author : Jay A. Shanken
language : en
Publisher:
Release Date : 1999
Another Look At The Cross Section Of Expected Stock Returns written by Jay A. Shanken and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
Our examination of the cross-section of expected returns reveals economically and statistically significant compensation (about 6 to 9% per annum) for beta risk when betas are estimated from time-series regressions of annual portfolio returns on the annual return on the equal-weighted market index. The relation between book-to-market equity and returns is weaker than that in Fama and French (1992a). We conjecture that book-to-market results using COMPUSTAT data are affected by a selection bias and provide indirect evidence.