Dong, Huijian; Guo, Xiaomin - In: International Journal of Accounting and Finance 4 (2013) 2, pp. 190-207
Using daily data from CRSP and COMPUSTAT, this paper first confirms the cointegrated relation between the returns of equities in the US healthcare industry and the returns of market portfolio. Then we break down the risk premia of stocks of the healthcare sector into ten subgroups and reveal an...