| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3062 |
| DP3062 The Cost of Capital in International Financial Markets: Local or Global | |
| Kees Koedijk; Peter C Schotman; Mathijs Van Dijk | |
| 发表日期 | 2001-11-11 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | A model that includes a factor that captures news related to future Gross Domestic Product (GDP) growth along with the market factor can explain the cross-section of equity returns about as well as the Fama-French model can. Furthermore, the Fama-French factors HML and SMB appear to contain mainly news related to future GDP growth. When news related to future GDP growth is present in the asset-pricing model, HML and SMB lose their ability to explain the cross-section. |
| 主题 | Financial Economics |
| 关键词 | Asset pricing News Future gdp Gmm |
| URL | https://cepr.org/publications/dp3062 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532094 |
| 推荐引用方式 GB/T 7714 | Kees Koedijk,Peter C Schotman,Mathijs Van Dijk. DP3062 The Cost of Capital in International Financial Markets: Local or Global. 2001. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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