How Can a Q-Theoretic Model Price Momentum?
收藏NBER2015-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w20985
下载链接
链接失效反馈官方服务：
资源简介：
The answer, of course, is that it can't. Hou, Xue, and Zhang's (2014) empirical model does price portfolios sorted on prior year's performance, but for reasons outside of q-theory---it does so by including a fundamental momentum factor, i.e., a factor based on momentum in firm fundamentals. The ROE
提供机构：
美国国家经济研究局
创建时间：
2015-03-01
