Empirical Cross-Sectional Asset Pricing: A Survey

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Serval ID
serval:BIB_1F56F3516DBE
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Empirical Cross-Sectional Asset Pricing: A Survey
Journal
Financial Markets and Portfolio Management
Author(s)
Goyal  A.
ISSN
1555-4961
Publication state
Published
Issued date
03/2012
Peer-reviewed
Oui
Volume
26
Number
1
Pages
3-38
Language
english
Abstract
I review the state of empirical asset pricing devoted to understanding cross-sectional differences in average rates of return. Both methodologies and empirical evidence are surveyed. Tremendous progress has been made in understanding return patterns. At the same time, there is a need to synthesize the huge amount of collected evidence.
Keywords
Empirical asset pricing, factor models, time-series regressions, cross-sectional regressions, anomalies
Open Access
Yes
Create date
15/03/2014 18:15
Last modification date
01/10/2019 7:17
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