Timescale betas and the cross section of equity returns : framework, application, and implications for interpreting the Fama-French factors
Year of publication: |
June 2017
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Authors: | Kang, Byoung Uk ; In, Francis Haeuck ; Kim, Tong Suk |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 42.2017, p. 15-39
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Subject: | Asset pricing | Timescale betas | Cross section of stock returns | Fama-French factors | Wavelets | CAPM | Kapitaleinkommen | Capital income | Betafaktor | Beta risk | Risikoprämie | Risk premium | Kapitalmarktrendite | Capital market returns |
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