학회소식
학회소식
[2010년 제 2차] Does the Chen and Zhang Model Capture the Time-vary
작성자 : 관리자
조회수 : 841
게시일 :
2010-06-08
Given its striking empirical performance, we examine whether the Chen and Zhang (2010) model explains the time-varying patterns in stock returns, captured by the common conditioning variables. With a variety of test portfolios, we find that fitted conditional expected return (fit) is always statistically significant in the presence of the Chen-Zhang factors. Moreover, when the
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