G2TT
来源类型Discussion paper
规范类型论文
来源IDDP3512
DP3512 Unemployment Compensation Finance and Labour Market Rigidity
Pierre Cahuc; Franck Malherbet
发表日期2002-08-20
出版年2002
语种英语
摘要We explicitly link expected stock returns to firm characteristics such as firm size and book-to-market ratio in a dynamic general equilibrium production economy. Despite the fact that stock returns in the model are characterized by an intertemporal CAPM with the market portfolio as the only factor, size and book-to-market play separate roles in describing the cross-section of returns. These firm characteristics appear to predict stock returns because they are correlated with the true conditional market ß of returns. These cross-sectional relations can subsist after one controls for a typical empirical estimate of market ß This lends support to the view that the documented ability of size and book-to-market to explain the cross-section of stock returns is not necessarily inconsistent with a single-factor conditional CAPM model.
主题Financial Economics
关键词Production based asset pricing Beta size and book-to-market factors Capm Business cycle properties of stock returns
URLhttps://cepr.org/publications/dp3512
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/532526
推荐引用方式
GB/T 7714
Pierre Cahuc,Franck Malherbet. DP3512 Unemployment Compensation Finance and Labour Market Rigidity. 2002.
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