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Tests of international asset pricing model with and without a riskless asset
Chou, Pin-huang; Lin, Mei-Chen - In: Applied financial economics 12 (2002) 12, pp. 873-883
Persistent link: https://www.econbiz.de/10001724710
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Investment horizon and the cross section of expected returns : evidence from the Tokyo Stock Exchange
Chou, Pin-huang; Hsu, Yuan-lin; Zhou, Guofu - In: Annals of economics and finance 1 (2000) 1, pp. 79-100
Persistent link: https://www.econbiz.de/10001731829
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Do relative leverage and relative distress really explain size and book-to-market anomalies?
Chou, Pin-huang; Ko, Kuan-cheng; Lin, Shinn-juh - In: Journal of financial markets 13 (2010) 1, pp. 77-100
Persistent link: https://www.econbiz.de/10003935477
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Do industries matter in explaining stock returns and asset-pricing anomalies?
Chou, Pin-huang; Ho, Po-Hsin; Ko, Kuan-Cheng - In: Journal of banking & finance 36 (2012) 2, pp. 355-370
Persistent link: https://www.econbiz.de/10009511317
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Arbitrage risk and the turnover anomaly
Chou, Pin-huang; Huang, Tsung-yu; Yang, Hung-jeh - In: Journal of banking & finance 37 (2013) 11, pp. 4172-4182
Persistent link: https://www.econbiz.de/10010245601
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Portfolio optimization under asset pricing anomalies
Chou, Pin-huang; Li, Wen-Shen; Zhou, Guofu - In: Japan and the world economy : international journal of … 18 (2006) 2, pp. 121-142
Persistent link: https://www.econbiz.de/10003303126
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Comparing competing factor and characteristics models : evidence in Japan
Chou, Pin-huang; Ko, Kuan-Cheng; Rhee, S. Ghon - In: Pacific-Basin finance journal 82 (2023), pp. 1-25
Persistent link: https://www.econbiz.de/10014463363
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Sources of liquidity premium : risk or mispricing?
Chou, Pin-huang; Ko, Kuan-Cheng; Wei, K. C. John - 2024
Persistent link: https://www.econbiz.de/10015047456
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Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange
Chou, Pin-Huang; Hsu, Yuan-Lin; Zhou, Guofu - In: Annals of Economics and Finance 1 (2000) 1, pp. 79-100
Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta$, adjusted for infrequent trading or not, fails to explain the...
Persistent link: https://www.econbiz.de/10009131590
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Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange
Chou, Pin-Huang; Hsu, Yuan-Lin; Zhou, Guofu - China Economics and Management Academy, Central … - 1999
Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta$, adjusted for infrequent trading or not, fails to explain the...
Persistent link: https://www.econbiz.de/10009131620