Matches in SemOpenAlex for { <https://semopenalex.org/work/W1714060491> ?p ?o ?g. }
Showing items 1 to 88 of
88
with 100 items per page.
- W1714060491 abstract "Recent asset pricing research has suggested that expected returns are determined not only by systematic risk factors as proposed by equilibrium pricing theories but also by non-risk characteristics such as firm size and book-to-market. In a recent study, Gomes, Kogan, and Zhang (2001) reconcile the ability of such characteristics to predict returns within a dynamic pricing paradigm. Firm characteristics can appear to predict stock returns because they may be correlated with the true conditional factor loadings, thereby motivating the scaling of betas by firm specific variables. We test whether such a scaling procedure improves the performance of the theoretically motivated CAPM and consumption CAPM. The evidence shows that equity characteristics often enter beta significantly. However, 'characteristic scaled factor models' do not outperform their unscaled counterparts. The results are robust to various specifications including different proxies for the market portfolio and using both time-series and cross-sectional regressions." @default.
- W1714060491 created "2016-06-24" @default.
- W1714060491 creator A5077740586 @default.
- W1714060491 creator A5090728651 @default.
- W1714060491 date "2001-01-01" @default.
- W1714060491 modified "2023-09-28" @default.
- W1714060491 title "Characteristic Scaled Betas" @default.
- W1714060491 cites W1550270839 @default.
- W1714060491 cites W1998507386 @default.
- W1714060491 cites W2020866183 @default.
- W1714060491 cites W2116277545 @default.
- W1714060491 cites W2141833870 @default.
- W1714060491 cites W3123117239 @default.
- W1714060491 cites W3123188081 @default.
- W1714060491 cites W3125328951 @default.
- W1714060491 doi "https://doi.org/10.2139/ssrn.276654" @default.
- W1714060491 hasPublicationYear "2001" @default.
- W1714060491 type Work @default.
- W1714060491 sameAs 1714060491 @default.
- W1714060491 citedByCount "11" @default.
- W1714060491 countsByYear W17140604912014 @default.
- W1714060491 countsByYear W17140604912015 @default.
- W1714060491 countsByYear W17140604912016 @default.
- W1714060491 countsByYear W17140604912018 @default.
- W1714060491 crossrefType "journal-article" @default.
- W1714060491 hasAuthorship W1714060491A5077740586 @default.
- W1714060491 hasAuthorship W1714060491A5090728651 @default.
- W1714060491 hasConcept C106159729 @default.
- W1714060491 hasConcept C10879293 @default.
- W1714060491 hasConcept C127413603 @default.
- W1714060491 hasConcept C149782125 @default.
- W1714060491 hasConcept C162324750 @default.
- W1714060491 hasConcept C17744445 @default.
- W1714060491 hasConcept C181236170 @default.
- W1714060491 hasConcept C199539241 @default.
- W1714060491 hasConcept C199728807 @default.
- W1714060491 hasConcept C204036174 @default.
- W1714060491 hasConcept C2524010 @default.
- W1714060491 hasConcept C2777302077 @default.
- W1714060491 hasConcept C2780821815 @default.
- W1714060491 hasConcept C33175817 @default.
- W1714060491 hasConcept C33923547 @default.
- W1714060491 hasConcept C78519656 @default.
- W1714060491 hasConcept C99844830 @default.
- W1714060491 hasConceptScore W1714060491C106159729 @default.
- W1714060491 hasConceptScore W1714060491C10879293 @default.
- W1714060491 hasConceptScore W1714060491C127413603 @default.
- W1714060491 hasConceptScore W1714060491C149782125 @default.
- W1714060491 hasConceptScore W1714060491C162324750 @default.
- W1714060491 hasConceptScore W1714060491C17744445 @default.
- W1714060491 hasConceptScore W1714060491C181236170 @default.
- W1714060491 hasConceptScore W1714060491C199539241 @default.
- W1714060491 hasConceptScore W1714060491C199728807 @default.
- W1714060491 hasConceptScore W1714060491C204036174 @default.
- W1714060491 hasConceptScore W1714060491C2524010 @default.
- W1714060491 hasConceptScore W1714060491C2777302077 @default.
- W1714060491 hasConceptScore W1714060491C2780821815 @default.
- W1714060491 hasConceptScore W1714060491C33175817 @default.
- W1714060491 hasConceptScore W1714060491C33923547 @default.
- W1714060491 hasConceptScore W1714060491C78519656 @default.
- W1714060491 hasConceptScore W1714060491C99844830 @default.
- W1714060491 hasLocation W17140604911 @default.
- W1714060491 hasOpenAccess W1714060491 @default.
- W1714060491 hasPrimaryLocation W17140604911 @default.
- W1714060491 hasRelatedWork W1493117078 @default.
- W1714060491 hasRelatedWork W1544373574 @default.
- W1714060491 hasRelatedWork W155049880 @default.
- W1714060491 hasRelatedWork W1607636060 @default.
- W1714060491 hasRelatedWork W1971432209 @default.
- W1714060491 hasRelatedWork W1984272629 @default.
- W1714060491 hasRelatedWork W2011043606 @default.
- W1714060491 hasRelatedWork W2068016300 @default.
- W1714060491 hasRelatedWork W2126302930 @default.
- W1714060491 hasRelatedWork W2132411542 @default.
- W1714060491 hasRelatedWork W2134555350 @default.
- W1714060491 hasRelatedWork W2140426955 @default.
- W1714060491 hasRelatedWork W2143838122 @default.
- W1714060491 hasRelatedWork W2166215547 @default.
- W1714060491 hasRelatedWork W2206604501 @default.
- W1714060491 hasRelatedWork W2244239478 @default.
- W1714060491 hasRelatedWork W2253374530 @default.
- W1714060491 hasRelatedWork W3122187992 @default.
- W1714060491 hasRelatedWork W602993032 @default.
- W1714060491 hasRelatedWork W604335860 @default.
- W1714060491 isParatext "false" @default.
- W1714060491 isRetracted "false" @default.
- W1714060491 magId "1714060491" @default.
- W1714060491 workType "article" @default.