Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
Long-term perspective on the stock market matters in asset pricing
- Authors
- Park, Heungju; Sohn, Bumjean
- Issue Date
- 2월-2016
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Keywords
- ICAPM; Cross-section of equity returns; Long-horizon market return
- Citation
- FINANCE RESEARCH LETTERS, v.16, pp.162 - 170
- Indexed
- SSCI
SCOPUS
- Journal Title
- FINANCE RESEARCH LETTERS
- Volume
- 16
- Start Page
- 162
- End Page
- 170
- ISSN
- 1544-6123
- Abstract
- We provide a more intuitive interpretation of Campbell's (1993) in-tertemporal capital asset pricing model. In this model, investors' longterm perspective on the stock market matters and the revision on the perspective becomes a pricing factor. We construct this factor series from out-of-sample forecasts and it allows us to avoid the perfect foresight problem of the VAR factor model and to deal with on-going debate on the return predictability. Our empirical results suggest that the innovation factor is strongly and robustly priced across assets and has close relationship with the momentum and liquidity factors. (C) 2015 Elsevier Inc. All rights reserved.
- Files in This Item
- There are no files associated with this item.
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.