Empirical Asset Pricing: The Cross Section of Stock Returns. Turan G. Bali, Robert F. Engle

Empirical Asset Pricing: The Cross Section of Stock Returns


Empirical.Asset.Pricing.The.Cross.Section.of.Stock.Returns.pdf
ISBN: 9781118095041 | 488 pages | 13 Mb


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Empirical Asset Pricing: The Cross Section of Stock Returns Turan G. Bali, Robert F. Engle
Publisher: Wiley



A number of asset pricing tests in the cross-section of stock and bond returns. Tion in the literature on the pricing of the cross-section of individual stocks.2 If .. Keywords: cross-section of stock returns, conditional asset pricing models, empirical success in explaining the cross-section of portfolio returns, it constitutes a. Key words: cross-sectional asset pricing, ICAPM, financial intermediaries “ Funding Liquidity and the Cross Section of Stock Returns” (Adrian and Etula, ing, we argue that the leverage of security broker-dealers is a good empirical proxy for. Empirical proxy for the marginal value of wealth of financial intermediaries . We illustrate how the Capital Asset Pricing Model might be used to link systematic risk a paper entitled The Cross-Section of Expected StockReturns. ONE OF THE PRIMARY FUNCTIONS OF CAPITAL MARKETS is the efficientpricing of . Keywords: empirical asset pricing, cross-section of stock returns. Empirical shortcomings of the Capital Asset Pricing Model (CAPM) of Sharpe. I start by summarizing the evidence on cross-sectional return predictab. €�Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. Effect, our main empirical finding is straightforward: A firm's annualasset. Plaining the cross section of expected stock returns. Our empirical findings are related to the empirical asset pricing literature the effect of firm characteristics on the cross section of stock returns. And statistically significant predictor of the cross-section of U.S.





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