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Global Factor Returns

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서명/저자사항Global Factor Returns.
개인저자Viswanathan, Vivek.
단체저자명University of California, Irvine. Management - Ph.D..
발행사항[S.l.]: University of California, Irvine., 2019.
발행사항Ann Arbor: ProQuest Dissertations & Theses, 2019.
형태사항169 p.
기본자료 저록Dissertations Abstracts International 81-05A.
Dissertation Abstract International
ISBN9781687984289
학위논문주기Thesis (Ph.D.)--University of California, Irvine, 2019.
일반주기 Source: Dissertations Abstracts International, Volume: 81-05, Section: A.
Advisor: Jorion, Philippe.
이용제한사항This item must not be sold to any third party vendors.This item must not be added to any third party search indexes.
요약The 86 of 97 McLean and Pontiff (2016) factors that can be readily tested internationally deliver higher returns in Developed ex US and yet higher returns in Emerging Markets than in the United States. An equally weighted portfolio of these factors is highly significant in each region and such portfolios in Developed ex US and Emerging Markets earn a significant alpha on their US counterpart. In no region are these factors adequately explained by current models that attempt to explain factor excess returns. These factors are driven by the underlying characteristics as opposed to loadings on risk factors demonstrating that these factors are anomalies, not priced risks. However, there is some evidence that the premia on these anomalies and the characteristics' ability to predict return are declining over time.
일반주제명Finance.
언어영어
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