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Neoclassical factors

Author: Long Chen; Lu Zhang; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2007.
Series: Working paper series (National Bureau of Economic Research), no. 13282.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
The cross section of returns can largely be summarized by the market factor and mimicking portfolios based on investment-to-assets and earnings-to-assets motivated from neoclassical reasoning. The neoclassical three-factor model can capture average return variations related to momentum and financial distress anomalous to traditional factor models. The model also captures the relations of average returns with  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Long Chen; Lu Zhang; National Bureau of Economic Research.
OCLC Number: 162624089
Description: 1 online resource (1 volume).
Series Title: Working paper series (National Bureau of Economic Research), no. 13282.
Responsibility: Long Chen, Lu Zhang.

Abstract:

The cross section of returns can largely be summarized by the market factor and mimicking portfolios based on investment-to-assets and earnings-to-assets motivated from neoclassical reasoning. The neoclassical three-factor model can capture average return variations related to momentum and financial distress anomalous to traditional factor models. The model also captures the relations of average returns with earnings-to-price, cash flow-to-price, book-to-market, dividend-to-price, long-term past sales growth, long-term prior returns, and market leverage.
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