Systematic limited arbitrage and the cross-section of stock returns : evidence from exchange traded funds
Year of publication: |
September 2016
|
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Authors: | DeLisle, R. Jared ; McTier, Brian C. ; Smedema, Adam R. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 70.2016, p. 118-136
|
Subject: | Asset pricing | Factor model | Limits of arbitrage | Systematic | Risk | Arbitrage risk | Arbitrage | CAPM | Portfolio-Management | Portfolio selection | Kapitalmarkttheorie | Financial economics | Anlageverhalten | Behavioural finance | Schätzung | Estimation | Kapitaleinkommen | Capital income | Risiko | Kapitalmarktrendite | Capital market returns | Arbitrage Pricing | Arbitrage pricing |
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