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Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange
Chou, Pin-Huang; Hsu, Yuan-Lin; Zhou, Guofu - In: Annals of Economics and Finance 1 (2000) 1, pp. 79-100
Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta$, adjusted for infrequent trading or not, fails to explain the...
Persistent link: https://www.econbiz.de/10009131590
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Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange
Chou, Pin-Huang; Hsu, Yuan-Lin; Zhou, Guofu - China Economics and Management Academy, Central … - 1999
Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta$, adjusted for infrequent trading or not, fails to explain the...
Persistent link: https://www.econbiz.de/10009131620
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What determines expected international asset retuns [returns]?
Solnik, Bruno; Harvey, Campbell R.; Zhou, Guofu - 1994
Persistent link: https://www.econbiz.de/10000897108
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Measuring the pricing error of the arbitrage pricing theory
Geweke, John; Zhou, Guofu - 1995
Persistent link: https://www.econbiz.de/10000909817
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What determines expected international asset returns?
Harvey, Campbell R. - 1994
Persistent link: https://www.econbiz.de/10000883653
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A critique of the stochastic discount factor methodology
Kan, Raymond; Zhou, Guofu - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1221-1248
Persistent link: https://www.econbiz.de/10001395748
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Asset-pricing tests under alternative distributions
Zhou, Guofu - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1927-1942
Persistent link: https://www.econbiz.de/10001155917
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International asset pricing with alternative distributional specifications
Harvey, Campbell R. - In: Journal of empirical finance 1 (1993) 1, pp. 107-131
Persistent link: https://www.econbiz.de/10001146680
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Bayesian inference in asset pricing tests
Harvey, Campbell R. - In: Journal of financial economics 26 (1990) 2, pp. 221-254
Persistent link: https://www.econbiz.de/10001102506
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Measuring the pricing error of the arbitrage pricing theory
Geweke, John - In: The review of financial studies 9 (1996) 2, pp. 557-587
Persistent link: https://www.econbiz.de/10001202791