科研之友
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摘要
We examine the significance of the size, book-to-market and momentum risk factors in explaining portfolio returns in the Australian stock market. We compare the CAPM to a four-factor model assuming static risk premia, and find that the additional factors have significant explanatory power. Under the assumption of time-varying factor loadings, though, the signficance of the three additional factors becomes marginal, which suggests that size, book-to-market and momentum may proxy for misspecified market risk.
- 出版日期2008-6
