Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 刘民教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1093/jjfinec/nbm018 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL
其它资讯
摘要We show that sorting reveals the time-varying market risk exposures of the firm-specific investment opportunity set. Sorting on the basis of firm characteristics uncovers information on firm-specific distress or growth, and this leads to more efficient estimation of conditional risk sensitivity. We demonstrate the effectiveness of the sorting methodology with an empirical exercise that tests the conditional capital asset pricing model (CAPM). When measured properly using sorting and firm characteristics, conditional betas, along with size and the book-market ratio, are significant drivers of expected returns.
着者Fan XT, Liu M
期刊名称Journal of Financial Econometrics
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/08
月份12
日期1
卷号6
期次1
出版社OXFORD UNIV PRESS
页次49 - 86
国际标準期刊号1479-84http://aims.cuhk.edu.hk/converis/portal/Publication/09
语言英式英语
关键词book-market ratio; firm characteristics; size; sorting; time-varying risk
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS
