| dc.contributor | 財管系 | |
| dc.creator (作者) | Chou, Pin-Huang;Hsu, Yuan-Lin;Zhou, Guofu | |
| dc.date (日期) | 2000-05 | |
| dc.date.accessioned | 12-十月-2015 13:56:42 (UTC+8) | - |
| dc.date.available | 12-十月-2015 13:56:42 (UTC+8) | - |
| dc.date.issued (上傳時間) | 12-十月-2015 13:56:42 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/78945 | - |
| dc.description.abstract (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. | |
| dc.format.extent | 159 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Annals of Economics and Finance, 1(1), 79-100 | |
| dc.subject (關鍵詞) | Beta; Stock Returns; Stocks | |
| dc.title (題名) | Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange | |
| dc.type (資料類型) | article | en |
