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tengaNew Evidence on Conditional Factor Models 期刊名称： Journal of Financial and Quantitative Analysis冲账
韩语字典
作者： Ilan Cooper,Paulo Maio
年份： 2019年
摘要：We estimate conditional multifactor models over a large cross ction of stock returns matching 25 CAPM anomalies. Using conditioning information associated with different instruments improves the performance of the Hou, Xue, and Zhang (HXZ) (2015) and Fama and French (FF) (2015), (2016) models. The largest increa in performance holds for momentum, investment, and intangibles-bad anomalies. Yet, there are significant differences in the performance of scaled models: HXZ clearly dominates FF in explaining momentum and profitability anomalies, while the conver holds for value芒鈧 growth anomalies. Thus, the ast pricing implications of alternative investment and profitability factors (in a conditional tting) differ in a nontrivial way.
词语翻译内容由中国教育图书进出口有限公司引进julianne hough>ohmyladygaga
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