Common risk factors in the returns on stocks and bonds
Tài liệu tham khảo
Banz, 1986, Sample dependent results using accounting and market data: Some evidence, Journal of Finance, 41, 779, 10.1111/j.1540-6261.1986.tb04548.x
Basu, 1983, The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence, Journal of Financial Economics, 12, 129, 10.1016/0304-405X(83)90031-4
Bhandari, 1988, Debt/equity ratio and expected common stock returns: Empirical evidence, Journal of Finance, 43, 507, 10.1111/j.1540-6261.1988.tb03952.x
Chen, 1991, Financial investment opportunities and the macroeconomy, Journal of Finance, 46, 529, 10.1111/j.1540-6261.1991.tb02673.x
Fama, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics, 25, 23, 10.1016/0304-405X(89)90095-0
Fama, 1992, The cross-section of expected stock returns, Journal of Finance, 47, 427, 10.1111/j.1540-6261.1992.tb04398.x
Fama, 1992
Gibbons, 1989, A test of the efficiency of a given portfolio, Econometrica, 57, 1121, 10.2307/1913625
Jaffe,, 1989, Earnings yields, market values and stock returns, Journal of Finance, 44, 135, 10.1111/j.1540-6261.1989.tb02408.x
Keim, 1983, Size-related anomalies and stock return seasonality, Journal of Financial Economics, 12, 13, 10.1016/0304-405X(83)90025-9
Keim, 1988, Stock market regularities: A synthesis of the evidence and explanations
Lintner,, 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics, 47, 13, 10.2307/1924119
Lo, 1990, Data-snooping biases in tests of financial asset pricing models, Review of Financial Studies, 3, 431, 10.1093/rfs/3.3.431
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
Reinganum, 1981, A new empirical perspective on the CAPM, Journal of Financial and Quantitative Analysis, 16, 439, 10.2307/2330365
Rosenberg,, 1985, Persuasive evidence of market inefficiency, Journal of Portfolio Management, 11, 9, 10.3905/jpm.1985.409007
Roll,, 1983, Vas ist das? The turn-of-the-year effect and the return premia of small firms, Journal of Portfolio Management, 9, 18
Shanken,, 1982, The arbitrage pricing theory: Is it testable?, Journal of Finance, 37, 1129, 10.1111/j.1540-6261.1982.tb03607.x
Shanken,, 1990