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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP3512 |
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 |
URL | https://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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