Long-term perspective on the stock market matters in asset pricing
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Park, Heungju | - |
dc.contributor.author | Sohn, Bumjean | - |
dc.date.accessioned | 2021-09-04T03:32:56Z | - |
dc.date.available | 2021-09-04T03:32:56Z | - |
dc.date.created | 2021-06-16 | - |
dc.date.issued | 2016-02 | - |
dc.identifier.issn | 1544-6123 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/89695 | - |
dc.description.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. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ACADEMIC PRESS INC ELSEVIER SCIENCE | - |
dc.subject | RETURNS | - |
dc.subject | PERFORMANCE | - |
dc.subject | MODELS | - |
dc.subject | RISK | - |
dc.title | Long-term perspective on the stock market matters in asset pricing | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Sohn, Bumjean | - |
dc.identifier.doi | 10.1016/j.frl.2015.10.022 | - |
dc.identifier.scopusid | 2-s2.0-84962502558 | - |
dc.identifier.wosid | 000373649800019 | - |
dc.identifier.bibliographicCitation | FINANCE RESEARCH LETTERS, v.16, pp.162 - 170 | - |
dc.relation.isPartOf | FINANCE RESEARCH LETTERS | - |
dc.citation.title | FINANCE RESEARCH LETTERS | - |
dc.citation.volume | 16 | - |
dc.citation.startPage | 162 | - |
dc.citation.endPage | 170 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.subject.keywordPlus | RETURNS | - |
dc.subject.keywordPlus | PERFORMANCE | - |
dc.subject.keywordPlus | MODELS | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordAuthor | ICAPM | - |
dc.subject.keywordAuthor | Cross-section of equity returns | - |
dc.subject.keywordAuthor | Long-horizon market return | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.