DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Hankil | ko |
dc.contributor.author | Kang, Jangkoo | ko |
dc.contributor.author | Lee, Changjun | ko |
dc.date.accessioned | 2013-08-08T01:51:32Z | - |
dc.date.available | 2013-08-08T01:51:32Z | - |
dc.date.created | 2013-07-22 | - |
dc.date.created | 2013-07-22 | - |
dc.date.issued | 2013-06 | - |
dc.identifier.citation | EMERGING MARKETS REVIEW, v.15, pp.122 - 135 | - |
dc.identifier.issn | 1566-0141 | - |
dc.identifier.uri | http://hdl.handle.net/10203/174135 | - |
dc.description.abstract | As a summarization of previously suggested production-based approaches, Chen et al. (2010) propose two production-based factors. We examine whether the proposed factors explain the time-varying patterns in stock returns, captured by the common conditioning variables. With a variety of test portfolios, we find that the fitted conditional expected return (fit) is always statistically significant in the presence of the production-based factors. Moreover, when the fit is included in the analysis, the magnitude of the production-based factors becomes consistently smaller and the fit drives out the significance of the production-based factors. Our empirical results cast some doubt on the validity of the production-based model as a conditional benchmark for risk adjustment. (C) 2013 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | ASSET PRICING-MODELS | - |
dc.subject | CROSS-SECTIONAL TEST | - |
dc.subject | EXPECTED RETURNS | - |
dc.subject | RISK-FACTORS | - |
dc.subject | INVESTMENT | - |
dc.subject | MARKET | - |
dc.subject | ANOMALIES | - |
dc.subject | TESTS | - |
dc.subject | YIELD | - |
dc.subject | REGRESSION | - |
dc.title | Do the production-based factors capture the time-varying patterns in stock returns? | - |
dc.type | Article | - |
dc.identifier.wosid | 000319633900007 | - |
dc.identifier.scopusid | 2-s2.0-84877106750 | - |
dc.type.rims | ART | - |
dc.citation.volume | 15 | - |
dc.citation.beginningpage | 122 | - |
dc.citation.endingpage | 135 | - |
dc.citation.publicationname | EMERGING MARKETS REVIEW | - |
dc.identifier.doi | 10.1016/j.ememar.2013.01.002 | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.contributor.localauthor | Kang, Jangkoo | - |
dc.contributor.nonIdAuthor | Kang, Hankil | - |
dc.contributor.nonIdAuthor | Lee, Changjun | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Production-based model | - |
dc.subject.keywordAuthor | Chen, Novy-Marx, and Zhang three-factor model | - |
dc.subject.keywordAuthor | Conditional asset pricing model | - |
dc.subject.keywordAuthor | Expected return | - |
dc.subject.keywordPlus | ASSET PRICING-MODELS | - |
dc.subject.keywordPlus | CROSS-SECTIONAL TEST | - |
dc.subject.keywordPlus | EXPECTED RETURNS | - |
dc.subject.keywordPlus | RISK-FACTORS | - |
dc.subject.keywordPlus | INVESTMENT | - |
dc.subject.keywordPlus | MARKET | - |
dc.subject.keywordPlus | ANOMALIES | - |
dc.subject.keywordPlus | TESTS | - |
dc.subject.keywordPlus | YIELD | - |
dc.subject.keywordPlus | REGRESSION | - |
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