Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/78945
DC Field | Value | Language |
---|---|---|
dc.contributor | 財管系 | |
dc.creator | Chou, Pin-Huang;Hsu, Yuan-Lin;Zhou, Guofu | |
dc.date | 2000-05 | |
dc.date.accessioned | 2015-10-12T05:56:42Z | - |
dc.date.available | 2015-10-12T05:56:42Z | - |
dc.date.issued | 2015-10-12T05:56:42Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/78945 | - |
dc.description.abstract | 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. | |
dc.format.extent | 159 bytes | - |
dc.format.mimetype | text/html | - |
dc.relation | Annals of Economics and Finance, 1(1), 79-100 | |
dc.subject | Beta; Stock Returns; Stocks | |
dc.title | Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange | |
dc.type | article | en |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.grantfulltext | restricted | - |
item.fulltext | With Fulltext | - |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | 期刊論文 |
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