Asset pricing in a multifactor setting

Borsa Istanbul Review - Tập 22 - Trang 1062-1068 - 2022
Omer Cayirli1, Koray Kayalidere1, Huseyin Aktas1
1Manisa Celal Bayar University, Department of Business Administration, Sehit Prof. Dr. Ilhan Varank Kampusu, 45140, Yunusemre, Manisa, Turkiye

Tài liệu tham khảo

Bali, 2007 Bali, 2008, The intertemporal capital asset pricing model with dynamic conditional correlations, Journal of Monetary Economics, 57, 377, 10.1016/j.jmoneco.2010.03.002 Black, 1972, The capital asset pricing model: Some empirical tests, Vol. 1972 Black, 1992, Global portfolio optimization, Financial Analysts Journal, 48, 28, 10.2469/faj.v48.n5.28 Brennan, 2004, Estimation and test of a simple model of intertemporal capital asset pricing, The Journal of Finance, 59, 1743, 10.1111/j.1540-6261.2004.00678.x Cayirli, 2022, A closer look into the behavior of emerging market sovereign spreads: State-dependent and asymmetric behaviors, International Review of Economics & Finance, 77, 522, 10.1016/j.iref.2021.10.017 Cochrane, 2005 Conrad, 2003, Value versus glamour, The Journal of Finance, 58, 1969, 10.1111/1540-6261.00594 Fama, 1992, The cross-section of expected stock returns, The Journal of Finance, 47, 427, 10.1111/j.1540-6261.1992.tb04398.x Fama, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3, 10.1016/0304-405X(93)90023-5 Fama, 1995, Size and book-to-market factors in earnings and returns, The Journal of Finance, 50, 131, 10.1111/j.1540-6261.1995.tb05169.x Jagannathan, 1996, The conditional CAPM and the cross-section of expected returns, The Journal of Finance, 51, 3, 10.1111/j.1540-6261.1996.tb05201.x Lintner, 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economic and Statistics, 47, 13, 10.2307/1924119 Merton, 1973, An intertemporal capital asset pricing model, Econometrica, 41, 867, 10.2307/1913811 Merton, 1980, On estimating the expected return on the market: An exploratory investigation, Journal of Financial Economics, 8, 323, 10.1016/0304-405X(80)90007-0 Ross, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory, 13, 341, 10.1016/0022-0531(76)90046-6 Sharpe, 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance, 19, 425