Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/78945
題名: | Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange | 作者: | Chou, Pin-Huang;Hsu, Yuan-Lin;Zhou, Guofu | 貢獻者: | 財管系 | 關鍵詞: | Beta; Stock Returns; Stocks | 日期: | 五月-2000 | 上傳時間: | 12-十月-2015 | 摘要: | Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that beta, adjusted for infrequent trading or not, fails to explain the cross-section of monthly expected returns, but does a much better job for horizons over half- and one-year. However, either the size or the BE/ME alone is still a significant factor in explaining the cross-section expected returns, but the size significance diminishes for longer horizons when beta is included as an additional independent variable. | 關聯: | Annals of Economics and Finance, 1(1), 79-100 | 資料類型: | article |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
index.html | 159 B | HTML2 | View/Open |
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.