The state-dependent time variation in the value premium
Year of publication: |
2014
|
---|---|
Authors: | Sharaiha, Yazid M. ; Johansson, Kristoffer Kittilsen |
Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 15.2014, 2, p. 150-161
|
Subject: | value premium | time-varying betas | smooth transition regresson | regime switching | dynamic factor allocation | CAPM | Risikoprämie | Risk premium | Schätzung | Estimation | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Aktienmarkt | Stock market |
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