The Cross-Section of Expected Stock Returns in Brazil
Author | : Gyorgy Varga |
Publisher | : |
Total Pages | : 38 |
Release | : 2019 |
Genre | : |
ISBN | : |
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Author | : Gyorgy Varga |
Publisher | : |
Total Pages | : 38 |
Release | : 2019 |
Genre | : |
ISBN | : |
Author | : Stijn Claessens |
Publisher | : World Bank Publications |
Total Pages | : 28 |
Release | : 1995 |
Genre | : Rate of return |
ISBN | : |
Author | : Eugene F. Fama |
Publisher | : |
Total Pages | : 41 |
Release | : 1992 |
Genre | : Rate of return |
ISBN | : |
Author | : J. Benson Durham |
Publisher | : |
Total Pages | : 60 |
Release | : 2002 |
Genre | : Stocks |
ISBN | : |
Author | : Jean-Paul Sursock |
Publisher | : |
Total Pages | : 122 |
Release | : 2000 |
Genre | : |
ISBN | : |
Author | : S. P. Kothari |
Publisher | : |
Total Pages | : 51 |
Release | : 1994 |
Genre | : Stocks |
ISBN | : |
Author | : Jonathan Lewellen |
Publisher | : |
Total Pages | : |
Release | : 2014 |
Genre | : |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2006 |
Genre | : Capital assets pricing model |
ISBN | : |
Author | : John Meredith Griffin |
Publisher | : |
Total Pages | : 410 |
Release | : 1997 |
Genre | : |
ISBN | : |
Abstract: This dissertation consists of two essays which evaluate whether the cross-section of expected stock returns in Japan is more consistent with the recent risk or non-risk based theories. The first essay investigates whether the Fama and French (1993) size and book-to-market factors are risk proxies. If these factors are true proxies for risk they can be used to price assets across countries in a world where capital markets are at least partially integrated. I find that U.S. and Japanese size and book-to-market effects are not related. Japanese assets with high loadings on the Fama and French factors do not earn higher returns. To evaluate whether the results could be due to lack of integration between the U.S. and Japanese capital markets, the pricing implications are examined in Canada with a similar conclusion. These results are not consistent with the view that size and book-to-market are priced risk factors.
Author | : Robert Casey |
Publisher | : |
Total Pages | : 85 |
Release | : 2004 |
Genre | : Earnings per share |
ISBN | : |