Identifying portfolio-based systematic risk factors in equity markets
| Autor: | Klaus Grobys, Jesper Haga |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2016 |
| Předmět: |
040101 forestry
ta511 050208 finance Actuarial science Financial economics Consumption-based capital asset pricing model 05 social sciences Equity (finance) 04 agricultural and veterinary sciences 0502 economics and business Systematic risk 0401 agriculture forestry and fisheries Capital asset pricing model Portfolio Profitability index Business ta512 Finance |
| Zdroj: | Finance Research Letters. 17:88-92 |
| ISSN: | 1544-6123 |
| DOI: | 10.1016/j.frl.2016.01.010 |
| Popis: | Four prominent new asset pricing factors have recently been proposed. We test whether these factors fulfill the necessary conditions to qualify as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk-based explanations. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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