Digesting Anomalies: An Investment Approach
收藏NBER2012-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w18435
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资源简介：
Motivated from investment-based asset pricing, we propose a new factor model consisting of the market factor, a size factor, an investment factor, and a return on equity factor. The new factor model outperforms the Carhart four-factor model in pricing portfolios formed on earnings surprise,
提供机构：
美国国家经济研究局
创建时间：
2012-10-01
