The extreme bounds of the cross-section of expected stock returns
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2002 - Business & Economics - 51 pages
Try this search over all volumes: September 2002
Results 1-0 of 0
What people are saying - Write a review
We haven't found any reviews in the usual places.
5-factor models altemative arbitrage pricing theory Assets ui Market BE/ME Book Equity ui Bound Upper Bound Brian Sack Cash Flow ui CDF decision rule CF/ME COMPUSTAT Cross-Section of Expected CRSP Dividend Yield Eamings ui Market EBA decision rule Equity ui Market expected stock retums extreme bounds Fama and French ﬁrm Flow ui Market Granger and Uhlig Interest Coverage Ratio lagged retum Lagged reuim 25-60 Lagged reuim 7-I2 Leverage tassets ui Levine and Renelt Long run Lagged Lower Bound Upper Medium run Lagged Monetary Policy multicollinearity Number of Weighted Post-ranking Inﬂation Beta Post-ranking Yield Curve Proﬁt Margin R2 decision rule reuim 25-60 months reuim I month Reuim on Assets Reuim on Equity robust run Lagged reuim S/ME Sales ui Market Short run Lagged speciﬁcation statistically signiﬁcant Tables 1A tassets ui Book Total Assets ui ui Book Equity ui Market Equity Upper Bound Signiﬁcant VIF Restriction weighted coefﬁcient Yield Curve Beta Yield Spread