کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069846 | 1373210 | 2007 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A note on the relationship between Fama-French risk factors and innovations of ICAPM state variables
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This note examines, over various time scales, the extent to which SMB (the difference between the average returns of the small-stock portfolios and big-stock portfolios) and HML (the difference in returns between the high-BM portfolios and low-BM portfolios) factors share information with the innovations of state variables, which are interpreted as alternative investment opportunities. To examine the relationship, we adopt a new and innovative approach of wavelet analysis as our main empirical method. It is found that SMB and HML may play only a limited role in capturing alternative investment opportunities in the short run, but they share much information with alternative investment opportunities in the long run.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 4, Issue 3, September 2007, Pages 165-171
Journal: Finance Research Letters - Volume 4, Issue 3, September 2007, Pages 165-171
نویسندگان
Francis In, Sangbae Kim,