Format:
56 S.
,
graph. Darst.
,
22 cm
Series Statement:
Working paper series / National Bureau of Economic Research 13282
Content:
The cross section of returns can largely be summarized by the market factor and mimicking portfolios based on investment-to-assets and earnings-to-assets motivated from neoclassical reasoning. The neoclassical three-factor model can capture average return variations related to momentum and financial distress anomalous to traditional factor models. The model also captures the relations of average returns with earnings-to-price, cash flow-to-price, book-to-market, dividend-to-price, long-term past sales growth, long-term prior returns, and market leverage.
Note:
Literaturverz. S. 33 - 36
Additional Edition:
Erscheint auch als Online-Ausgabe
Language:
English
URL:
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