Long- and short-run components of factor betas : implications for stock pricing
Year of publication: |
2021
|
---|---|
Authors: | Asgharian, Hossein ; Christiansen, Charlotte ; Hou, Ai Jun ; Wang, Weining |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 74.2021, p. 1-14
|
Subject: | Long-run betas | Short-run betas | Risk premia | Component GARCH model | MIDAS | Schätzung | Estimation | Betafaktor | Beta risk | CAPM | ARCH-Modell | ARCH model | Börsenkurs | Share price | Risikoprämie | Risk premium | Theorie | Theory | Kapitaleinkommen | Capital income | Kointegration | Cointegration | Volatilität | Volatility |
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