Matches in SemOpenAlex for { <https://semopenalex.org/work/W2145454016> ?p ?o ?g. }
Showing items 1 to 67 of
67
with 100 items per page.
- W2145454016 abstract "In this paper, I have examined the relation between expected returns and measures of systematic risk stemming from macroeconomic factors studied by Chen, Roll and Ross (1986, hereafter CRR) for a different time period (1978-2007) and different formation of portfolios (based on ME and BE/ME). Like CRR, I’ve used a version of Fama and MacBeth’s (1973) two-pass cross-sectional regression (CSR) methodology. Apparently, changing the time period and formation of portfolio lead to noticeably different conclusions. Using the same macrofactors as CRR only factor related to the change in expected inflation (DEI) is significantly priced in the overall period. The sample mean of the Industrial production factor (MP), a highly significant factor in CRR, is insignificant, although positive, for this period. Adding a sixth factor that captures the investor’s confidence in the market is quite insensitive to other marcofactors. However, both the five factor by CRR and proposed six factor model show evidence of joint significance, which is a new property entered in this paper." @default.
- W2145454016 created "2016-06-24" @default.
- W2145454016 creator A5028464596 @default.
- W2145454016 date "2010-04-01" @default.
- W2145454016 modified "2023-09-27" @default.
- W2145454016 title "Behavioral approach to Arbitrage Pricing Theory" @default.
- W2145454016 hasPublicationYear "2010" @default.
- W2145454016 type Work @default.
- W2145454016 sameAs 2145454016 @default.
- W2145454016 citedByCount "0" @default.
- W2145454016 crossrefType "posted-content" @default.
- W2145454016 hasAuthorship W2145454016A5028464596 @default.
- W2145454016 hasConcept C106159729 @default.
- W2145454016 hasConcept C10879293 @default.
- W2145454016 hasConcept C121332964 @default.
- W2145454016 hasConcept C142450864 @default.
- W2145454016 hasConcept C149782125 @default.
- W2145454016 hasConcept C160623529 @default.
- W2145454016 hasConcept C162324750 @default.
- W2145454016 hasConcept C181236170 @default.
- W2145454016 hasConcept C185592680 @default.
- W2145454016 hasConcept C198531522 @default.
- W2145454016 hasConcept C200941418 @default.
- W2145454016 hasConcept C2780821815 @default.
- W2145454016 hasConcept C33332235 @default.
- W2145454016 hasConcept C43617362 @default.
- W2145454016 hasConceptScore W2145454016C106159729 @default.
- W2145454016 hasConceptScore W2145454016C10879293 @default.
- W2145454016 hasConceptScore W2145454016C121332964 @default.
- W2145454016 hasConceptScore W2145454016C142450864 @default.
- W2145454016 hasConceptScore W2145454016C149782125 @default.
- W2145454016 hasConceptScore W2145454016C160623529 @default.
- W2145454016 hasConceptScore W2145454016C162324750 @default.
- W2145454016 hasConceptScore W2145454016C181236170 @default.
- W2145454016 hasConceptScore W2145454016C185592680 @default.
- W2145454016 hasConceptScore W2145454016C198531522 @default.
- W2145454016 hasConceptScore W2145454016C200941418 @default.
- W2145454016 hasConceptScore W2145454016C2780821815 @default.
- W2145454016 hasConceptScore W2145454016C33332235 @default.
- W2145454016 hasConceptScore W2145454016C43617362 @default.
- W2145454016 hasLocation W21454540161 @default.
- W2145454016 hasOpenAccess W2145454016 @default.
- W2145454016 hasPrimaryLocation W21454540161 @default.
- W2145454016 hasRelatedWork W1570866209 @default.
- W2145454016 hasRelatedWork W1973784058 @default.
- W2145454016 hasRelatedWork W1978160180 @default.
- W2145454016 hasRelatedWork W1992560145 @default.
- W2145454016 hasRelatedWork W1995378818 @default.
- W2145454016 hasRelatedWork W2001998991 @default.
- W2145454016 hasRelatedWork W2002473062 @default.
- W2145454016 hasRelatedWork W2080593818 @default.
- W2145454016 hasRelatedWork W2131196290 @default.
- W2145454016 hasRelatedWork W2468042615 @default.
- W2145454016 hasRelatedWork W2735439589 @default.
- W2145454016 hasRelatedWork W2943666876 @default.
- W2145454016 hasRelatedWork W2952109188 @default.
- W2145454016 hasRelatedWork W2969576091 @default.
- W2145454016 hasRelatedWork W3122835685 @default.
- W2145454016 hasRelatedWork W3124817545 @default.
- W2145454016 hasRelatedWork W3143565726 @default.
- W2145454016 hasRelatedWork W3169427338 @default.
- W2145454016 hasRelatedWork W956796974 @default.
- W2145454016 hasRelatedWork W1940179278 @default.
- W2145454016 isParatext "false" @default.
- W2145454016 isRetracted "false" @default.
- W2145454016 magId "2145454016" @default.
- W2145454016 workType "article" @default.