Bad Beta, Good Beta
收藏NBER2003-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w9509
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资源简介：
This paper explains the size and value anomalies' in stock returns using an economically motivated two-beta model. We break the CAPM beta of a stock with the market portfolio into two components, one reflecting news about the market's future cash flows and one reflecting news about the market's
提供机构：
美国国家经济研究局
创建时间：
2003-02-01
