Empirical Asset Pricing: The Cross Section of Stock Returns by Turan G. Bali, Robert F. Engle

Empirical Asset Pricing: The Cross Section of Stock Returns Turan G. Bali, Robert F. Engle ebook
Page: 488
Format: pdf
ISBN: 9781118095041
Publisher: Wiley

Return as a factor in some of our tests, we focus on the cross section of OTCreturns. The results also suggest that stock profitability is related to size and BTM ratio in China's stock market. Keywords: cross-sectional asset pricing, financial intermediaries of empiricalasset pricing– rather than emphasizing average household behavior, the as- help explain the cross-section of stock returns and equity premium puzzle. "The Cross-Section of Expected Stock Returns". Keywords: empirical asset pricing, cross-section of stock returns. I start by summarizing the evidence on cross-sectional return predictab. Asset pricing theories based on transaction costs, such Amihud and Mendelson . Empirical shortcomings of the Capital Asset Pricing Model (CAPM) of Sharpe. Plaining the cross section of expected stock returns. In finance, the capital asset pricing model (CAPM) is an empirical model used to determine a theoretically ..