Reformulated asset pricing models : theory and tests
The dissertation consists of three essays that address both the theoretical and empirical aspects of characteristics-based asset pricing models. In the first essay, we reformulate a characteristics-based model to demonstrate why firm characteristics explain cross-sectional expected returns. The mod...
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2002
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| Online Access: | http://spectrum.library.concordia.ca/1765/1/NQ73356.pdf He, Zhongzhi Lawrence <http://spectrum.library.concordia.ca/view/creators/He=3AZhongzhi_Lawrence=3A=3A.html> (2002) Reformulated asset pricing models : theory and tests. PhD thesis, Concordia University. |