Showing 1 - 5 of 5
We test the recent Fama-French five-factor model and Hou-Xue-Zhang four-factor model using test assets from Fama-MacBeth regressions, which are pure plays on particular characteristics or covariances. Our tests resolve the errors-in-variable bias in Fama-MacBeth regressions with estimated betas....
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In a Kyle (1985) model, the sign of the correlation between a firm's debt and equity returns is the same as the sign of the cross-market Kyle's lambda. The sign is positive (negative) if private information concerns the mean (risk) of the firm's assets. We show empirically that information...
Persistent link: https://www.econbiz.de/10013064518
Mutual funds seek alpha, but coskewness is also an important performance attribute. Alpha and coskewness relative to the market are negatively correlated in theory, so funds may generate undesirable coskewness in the pursuit of alpha. Empirically, the tradeoff exists for mutual funds and is...
Persistent link: https://www.econbiz.de/10012971474