On Factor- and Characteristic- Based Explanations of Size and BM Anomalies
碩士 === 國立中央大學 === 財務金融研究所 === 94 === We show a CAPM framework and use different sorting ways to derive implied returns. We take advantage of Fama-MacBeth (1973) cross-section regression to test whether size and BM are included into this implied return. The results display that the implied return onl...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/89209579466859647834 |