Price Dividend Ratio Factors : Proxies for Long Run Risk
收藏NBER2011-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w17484
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资源简介：
We evaluate the empirical support for a broad class of long run risk models using information in factors extracted through principal component analysis of the covariance matrix of log price dividend ratios of twenty five equity portfolios formed on Size and Book-to-Market. We identify two price
提供机构：
美国国家经济研究局
创建时间：
2011-10-01
