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Conditional skewness in asset pricing : 25 years of out-of-sample evidence

Harvey, Campbell R.; Siddique, Akhtar R. - In: Critical finance review 12 (2023) 1/4, pp. 355-366

Persistent link: https://www.econbiz.de/10014370380

Sources of risk and expected returns in global equity markets

Ferson, Wayne E.; Harvey, Campbell R. - 1994

Persistent link: https://www.econbiz.de/10000881184

Fundamental determinants of national equity market returns : a perspective on conditional asset pricing

Ferson, Wayne E.; Harvey, Campbell R. - 1996

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An exploratory investigation of the fundamental determinants of national equity market returns

Ferson, Wayne E. - In: The internationalization of equity markets, (pp. 59-138). 1994

Persistent link: https://www.econbiz.de/10001291053

Fundamental Determinants of National Equity Market Returns : A Perspective on Conditional Asset Pricing

Ferson, Wayne E. - 1996

of common stocks, such as ratios of price-to-book-value, cash-flow, earnings, and other variables to the future returns …

Persistent link: https://www.econbiz.de/10012472968

Sources of Risk and Expected Returns in Global Equity Markets

Ferson, Wayne E. - 1994

This paper empirically examines multifactor asset pricing models for the returns and expected returns on eighteen … world market betas do not provide a good explanation of cross-sectional differences in average returns. Multiple beta models … provide an improved explanation of the equity returns …

Persistent link: https://www.econbiz.de/10012474312