Empirical Cross-Sectional Asset Pricing: A Survey
Détails
Etat: Public
Version: Final published version
Licence: Non spécifiée
It was possible to publish this article open access thanks to a Swiss National Licence with the publisher.
ID Serval
serval:BIB_1F56F3516DBE
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Empirical Cross-Sectional Asset Pricing: A Survey
Périodique
Financial Markets and Portfolio Management
ISSN
1555-4961
Statut éditorial
Publié
Date de publication
03/2012
Peer-reviewed
Oui
Volume
26
Numéro
1
Pages
3-38
Langue
anglais
Résumé
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.
Mots-clé
Empirical asset pricing, factor models, time-series regressions, cross-sectional regressions, anomalies
Open Access
Oui
Création de la notice
15/03/2014 18:15
Dernière modification de la notice
14/02/2022 8:54