자료유형 | 학위논문 |
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서명/저자사항 | Global Factor Returns. |
개인저자 | Viswanathan, Vivek. |
단체저자명 | University of California, Irvine. Management - Ph.D.. |
발행사항 | [S.l.]: University of California, Irvine., 2019. |
발행사항 | Ann Arbor: ProQuest Dissertations & Theses, 2019. |
형태사항 | 169 p. |
기본자료 저록 | Dissertations Abstracts International 81-05A. Dissertation Abstract International |
ISBN | 9781687984289 |
학위논문주기 | Thesis (Ph.D.)--University of California, Irvine, 2019. |
일반주기 |
Source: Dissertations Abstracts International, Volume: 81-05, Section: A.
Advisor: Jorion, Philippe. |
이용제한사항 | This item must not be sold to any third party vendors.This item must not be added to any third party search indexes. |
요약 | The 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. |
일반주제명 | Finance. |
언어 | 영어 |
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