WorldCat Linked Data Explorer

Turtle N-Triple JSON-LD RDF/XML HTML Contact Us Home

http://worldcat.org/entity/work/id/1171298165

Digesting Anomalies An Investment Approach

Open All Close All

type

about

contributor

creator

description

http://schema.org/description

  • "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, idiosyncratic volatility, financial distress, net stock issues, composite issuance, as well as on investment and return on equity. The new model performs similarly as the Carhart model in pricing portfolios formed on size and momentum, abnormal corporate investment, as well as on size and book-to-market, but underperforms in pricing the total accrual deciles. The new model's performance, combined with its clear economic intuition, suggests that it can be used as a new workhorse model for academic research and investment management practice."

name

http://schema.org/name

  • "Digesting Anomalies An Investment Approach"
  • "Digesting anomalies an investment approach"
  • "Digesting anomalies : an investment approach"

workExample