Improvements in forecasting insurance stock excess returns: Comparing the investor sentiment endurance index with the CAPM and Fama-French models
| Autor: | Haibo Yao, K. Michael Casey, Ling He |
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| Rok vydání: | 2021 |
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| Zdroj: | Investment Analysts Journal. 50:99-109 |
| ISSN: | 2077-0227 1029-3523 |
| DOI: | 10.1080/10293523.2021.1886722 |
| Popis: | This study applies the sentiment endurance (SE) index developed by He (2012) to forecast excess returns of insurance stocks. With the exception of the 12-month rolling forecasts of the Fama-French ... |
| Databáze: | OpenAIRE |
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