Showing 1 - 10 of 24
Persistent link: https://www.econbiz.de/10009754890
Firm level characteristics explain the cross section of investment returns of industry portfolios that include listed and unlisted firms. Moreover, common asset pricing models explain the cross-sectional variation of characteristic-based investment returns which include listed and unlisted...
Persistent link: https://www.econbiz.de/10013091350
Persistent link: https://www.econbiz.de/10011590063
Persistent link: https://www.econbiz.de/10001234419
Persistent link: https://www.econbiz.de/10001586890
We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies. Using conditioning information associated with different instruments improves the performance of the Hou, Xue, and Zhang (2015, HXZ) and Fama and French (2015, 2016, FF) models. The...
Persistent link: https://www.econbiz.de/10012937406
Persistent link: https://www.econbiz.de/10012819566
We conduct an empirical investigation of an investment-based asset pricing model. We introduce a novel theoretically derived economically fundamental variable, namely the rate of capital utilization and test its relationships with return volatility, systematic risk and expected returns. Our...
Persistent link: https://www.econbiz.de/10013080475
Persistent link: https://www.econbiz.de/10012140056
Persistent link: https://www.econbiz.de/10012117732