Long- and short-run components of factor betas : implications for stock pricing
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou, Weining Wang
| Year of publication: |
2021
|
|---|---|
| Authors: | Asgharian, Hossein ; Christiansen, Charlotte ; Hou, Ai Jun ; Wang, Weining |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 74.2021, p. 1-14
|
| Subject: | Long-run betas | Short-run betas | Risk premia | Component GARCH model | MIDAS | Betafaktor | Beta risk | Börsenkurs | Share price | CAPM | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätztheorie | Estimation theory | Schätzung | Estimation | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2021.101412 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012803274