Do the production-based factors capture the time-varying patterns in stock returns?

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dc.contributor.authorKang, Hankilko
dc.contributor.authorKang, Jangkooko
dc.contributor.authorLee, Changjunko
dc.date.accessioned2013-08-08T01:51:32Z-
dc.date.available2013-08-08T01:51:32Z-
dc.date.created2013-07-22-
dc.date.created2013-07-22-
dc.date.issued2013-06-
dc.identifier.citationEMERGING MARKETS REVIEW, v.15, pp.122 - 135-
dc.identifier.issn1566-0141-
dc.identifier.urihttp://hdl.handle.net/10203/174135-
dc.description.abstractAs a summarization of previously suggested production-based approaches, Chen et al. (2010) propose two production-based factors. We examine whether the proposed factors explain the time-varying patterns in stock returns, captured by the common conditioning variables. With a variety of test portfolios, we find that the fitted conditional expected return (fit) is always statistically significant in the presence of the production-based factors. Moreover, when the fit is included in the analysis, the magnitude of the production-based factors becomes consistently smaller and the fit drives out the significance of the production-based factors. Our empirical results cast some doubt on the validity of the production-based model as a conditional benchmark for risk adjustment. (C) 2013 Elsevier B.V. All rights reserved.-
dc.languageEnglish-
dc.publisherELSEVIER SCIENCE BV-
dc.subjectASSET PRICING-MODELS-
dc.subjectCROSS-SECTIONAL TEST-
dc.subjectEXPECTED RETURNS-
dc.subjectRISK-FACTORS-
dc.subjectINVESTMENT-
dc.subjectMARKET-
dc.subjectANOMALIES-
dc.subjectTESTS-
dc.subjectYIELD-
dc.subjectREGRESSION-
dc.titleDo the production-based factors capture the time-varying patterns in stock returns?-
dc.typeArticle-
dc.identifier.wosid000319633900007-
dc.identifier.scopusid2-s2.0-84877106750-
dc.type.rimsART-
dc.citation.volume15-
dc.citation.beginningpage122-
dc.citation.endingpage135-
dc.citation.publicationnameEMERGING MARKETS REVIEW-
dc.identifier.doi10.1016/j.ememar.2013.01.002-
dc.embargo.liftdate9999-12-31-
dc.embargo.terms9999-12-31-
dc.contributor.localauthorKang, Jangkoo-
dc.contributor.nonIdAuthorKang, Hankil-
dc.contributor.nonIdAuthorLee, Changjun-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorProduction-based model-
dc.subject.keywordAuthorChen, Novy-Marx, and Zhang three-factor model-
dc.subject.keywordAuthorConditional asset pricing model-
dc.subject.keywordAuthorExpected return-
dc.subject.keywordPlusASSET PRICING-MODELS-
dc.subject.keywordPlusCROSS-SECTIONAL TEST-
dc.subject.keywordPlusEXPECTED RETURNS-
dc.subject.keywordPlusRISK-FACTORS-
dc.subject.keywordPlusINVESTMENT-
dc.subject.keywordPlusMARKET-
dc.subject.keywordPlusANOMALIES-
dc.subject.keywordPlusTESTS-
dc.subject.keywordPlusYIELD-
dc.subject.keywordPlusREGRESSION-
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