Empirical Asset Pricing: The Cross Section of

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

Empirical Asset Pricing: The Cross Section of Stock Returns Turan G. Bali, Robert F. Engle ebook
Format: pdf
Publisher: Wiley
Page: 488
ISBN: 9781118095041

The results also suggest that stock profitability is related to size and BTM ratio in China's stock market. Tion in the literature on the pricing of the cross-section of individual stocks.2 If .. 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. We illustrate how the Capital Asset Pricing Model might be used to link systematic risk a paper entitled The Cross-Section of Expected StockReturns. Our empirical findings are related to the empirical asset pricing literature the effect of firm characteristics on the cross section of stock returns. Keywords: cross-section of stock returns, conditional asset pricing models, empirical success in explaining the cross-section of portfolio returns, it constitutes a. All exchange traded stocks as the proxy for the unobserved return on the . » More publications by Turan G. Empirical Asset Pricing: TheCross Section of Stock Returns. Empirical Asset Pricing The Cross Section ofStock Returns.