Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10000947220
A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, momentum, and industry portfolios indicate that the...
Persistent link: https://www.econbiz.de/10013066747
Persistent link: https://www.econbiz.de/10000947219