| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w13282
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| 来源ID | Working Paper 13282
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| Neoclassical Factors |
| Long Chen; Lu Zhang
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| 发表日期 | 2007-07-20
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| 出版年 | 2007
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| 语种 | 英语
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| 摘要 | Building on neoclassical reasoning, we propose a new multi-factor model that consists of the market factor and factor mimicking portfolios based on investment and productivity. The neo- classical three-factor model outperforms traditional factor models in explaining the average returns across testing portfolios formed on momentum, financial distress, investment, profitability, accruals, net stock issues, earnings surprises, and asset growth. Most intriguingly, winners have higher loadings than losers on both the low-minus-high investment factor and the high- minus-low productivity factor, which in turn help explain momentum profits. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
; Financial Markets
; Financial Institutions
; Corporate Finance
|
| URL | https://www.nber.org/papers/w13282
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570953
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推荐引用方式
GB/T 7714 |
Long Chen,Lu Zhang. Neoclassical Factors. 2007.
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文件名：
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w13282.pdf
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格式：
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Adobe PDF
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