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Time Aggregation and the Estimation of the Market Model: Empirical Evidence.

Cartwright, Phillip A; Lee, Cheng F - In: Journal of Business & Economic Statistics 5 (1987) 1, pp. 131-43

Persistent link: https://www.econbiz.de/10005732848

Block Recursive Systems in Asset Pricing Models: An Extension.

Lee, Cheng F; Lloyd, William P - In: Journal of Finance 33 (1978) 2, pp. 640-44

Persistent link: https://www.econbiz.de/10005214392

Functional Form and the Dividend Effect in the Electric Utility Industry.

Lee, Cheng F - In: Journal of Finance 31 (1976) 5, pp. 1481-86

Persistent link: https://www.econbiz.de/10005334577

Linear Conditional Expectation, Return Distributions, and Capital Asset Pricing Theories

Wei, K C John; Lee, Cheng F; Lee, Alice C - In: Journal of Financial Research 22 (1999) 4, pp. 471-87

We show that E[X(g(Y[subscript 1],...,Y[subscript n])] (where E[.] is the expectation operator) can be decomposed into a product of two expected values plus a sum of n comovement terms, if X, Y[subscript 1], . . . , Y[subscript n] follow a distribution that admits linear conditional expectation...

Persistent link: https://www.econbiz.de/10008518797