| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6098 |
| 来源ID | Working Paper 6098 |
| The Risk and Return from Factors | |
| Louis K. C. Chan; Jason Karceski; Josef Lakonishok | |
| 发表日期 | 1997-07-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | The ability to identify which factors best capture systematic return covariation is central to applications of multifactor pricing models. This paper uses a common data set to evaluate the performance of various proposed factors in capturing return comovements. Factors associated with the market, size, past return, book-to-market and dividend yield help explain return comovement on an out-of-sample basis (although they are not necessarily associated with large premiums in average returns). Except for the default premium and the term premium, macroeconomic factors perform poorly. We document regularities in the behavior of the more important factors, and confirm their influence in the Japanese and U.K. markets as well. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w6098 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563606 |
| 推荐引用方式 GB/T 7714 | Louis K. C. Chan,Jason Karceski,Josef Lakonishok. The Risk and Return from Factors. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6098.pdf（566KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
