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Equity market volatility and expected risk premium

Chen, Long (contributor); Guo, Hui (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003739618

Expected returns, yield spreads, and asset pricing tests

Campello, Murillo; Chen, Long; Zhang, Lu - In: The review of financial studies 21 (2008) 3, pp. 1297-1338

Persistent link: https://www.econbiz.de/10003742247

Neoclassical factors

Zhang, Lu (contributor); Chen, Long (contributor) - 2008 - Rev.

Persistent link: https://www.econbiz.de/10003744672

The expected value premium

Chen, Long; Petkova, Ralitsa; Zhang, Lu - 2006

Persistent link: https://www.econbiz.de/10003321567

Neoclassical factors

Chen, Long; Zhang, Lu - 2007

The cross section of returns can largely be summarized by the market factor and mimicking portfolios based on investment-to-assets and earnings-to-assets motivated from neoclassical reasoning. The neoclassical three-factor model can capture average return variations related to momentum and...