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Composition of wealth, conditioning information, and the cross-section of stock returns
Roussanov, Nikolai - 2010
Persistent link: https://www.econbiz.de/10008906828
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Composition of wealth, conditioning information, and the cross-section of stock returns
Roussanov, Nikolai - 2010
Persistent link: https://www.econbiz.de/10003981326
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Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns
Roussanov, Nikolai - 2010
Value stocks covary with aggregate consumption more than growth stocks during periods when financial wealth is low … consumption-based model augmented with an aggregate wealth growth factor, which can be motivated by either recursive preferences … or relative wealth concerns …
Persistent link: https://www.econbiz.de/10012462582
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Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns
Roussanov, Nikolai L. - 2010
Value stocks covary with aggregate consumption more than growth stocks during periods when financial wealth is low … consumption-based model augmented with an aggregate wealth growth factor, which can be motivated by either recursive preferences … or relative wealth concerns …
Persistent link: https://www.econbiz.de/10013142287
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A study to check the applicability of Fama and French, three-factor model on KSE 100-Index from 2004 - 2014
Abbas, Nahzat; Khan, Jahanzeb; Aziz, Rabia; Sumrani, Zain - In: International journal of financial research 6 (2015) 1, pp. 90-100
Persistent link: https://www.econbiz.de/10011407270
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The value premium and investors' appetite for risk
Qadan, Mahmoud; Jacob, Maram - In: International review of economics & finance : IREF 82 (2022), pp. 194-219
Persistent link: https://www.econbiz.de/10013543093
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A theoretical assessment on optimal asset allocations in insurance industry
Jarraya, Bilel; Bouri, Abdelfettah - In: International journal of finance & banking studies : JJFBS 2 (2013) 4, pp. 30-44
Persistent link: https://www.econbiz.de/10010532785
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No arbitrage conditions and expected returns when assets have different β's in up and down markets
Xu, Peter; Pettit, R. Richardson - In: The journal of asset management 15 (2014) 1, pp. 62-71
Persistent link: https://www.econbiz.de/10010370069
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How do factor premia vary over time? : a century of evidence
Ilmanen, Antti; Israel, Ronen; Lee, Rachel; Moskowitz, … - In: Journal of investment management : JOIM 19 (2021) 4, pp. 15-57
Persistent link: https://www.econbiz.de/10013164702
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Common pricing across asset classes : empirical evidence revisited
Gospodinov, Nikolaj; Robotti, Cesare - In: Journal of financial economics 140 (2021) 1, pp. 292-324
Persistent link: https://www.econbiz.de/10013188701