On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications
Year of publication: |
2011
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Authors: | Schmidt, Peter S. ; von Arx, Urs ; Schrimpf, Andreas ; Wagner, Alexander F. ; Ziegler, Andreas |
Publisher: |
Zurich : ETH Zurich, CER-ETH - Center of Economic Research |
Subject: | Börsenkurs | Risikomaß | Kapitaleinkommen | Volatilität | Spillover-Effekt | Vergleich | Europa | USA | Risk factors | value | size | momentum | international equity markets | asset pricing anomalies |
Series: | Economics Working Paper Series ; 11/141 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 665453183 [GVK] hdl:10419/171584 [Handle] RePEc:eth:wpswif:11-141 [RePEc] |
Classification: | C89 - Data Collection and Data Estimation Methodology; Computer Programs. Other ; G12 - Asset Pricing ; G15 - International Financial Markets |
Source: |
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Schmidt, Peter S., (2011)
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Schmidt, Peter S., (2011)
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Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
Bretschger, Lucas, (2012)
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Schmidt, Peter S., (2011)
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Schmidt, Peter S., (2011)
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Schmidt, Peter S., (2011)
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