研究成果 Social Proximity to Capital: Implications for Investors and Firms with Theresa Kuchler, Lin Peng, Johannes Stroebel, and Dexin Zhou Review of Financial studies,Forthcoming Anomalies and the Expected Market Return with ...
摘要: We provide the first systematic evidence on the link between long-short anomaly portfolio returns—a cornerstone of the cross-sectional literature—and the time-s关键词: Out-of-sample predictability Market excess return Long-short anomaly portfolio return Machine learning Limits of arbitrage ...
We provide the first systematic evidence on the link between long﹕hort anomaly portfolio returns—a cornerstone of the cross﹕ectional literature—and the time﹕eries predictability of the aggregate market excess return. Using 100 representative anomalies from the literature, we employ a variety of ...
Lee urged investors to exercise prudence and carefully monitor market fluctuations before making any decisions, as the stock market is inherently characterized by ups and downs. "The HSI is expected to regain momentum and rebound to 20,000 points in the second half of this year as expected inter...
The model says that the expected return on a portfolio in excess of the risk-free rate [E(Ri) - Rf] is explained by the sensitivity of its return to three factors: (i) the excess return on a broad market portfolio (RM - Rf); (ii) the difference between the return on a portfolio...
In recent years the so called anomaly literature provided a vast amount of empirical evidence that the CAPM does not fully explain the cross-sectional variation in expected returns. This paper investigates the cross-section of expected returns in the German stock market with particular focus on ...
the alternative arguments on the role of financial market anomalies on the determination of expected stock return and presents the critical review on whether alternative multifactor asset pricing models are able to capture the role of financial market anomalies in determining the expected stock return....