Conditional Asset Pricing and Stock Market Anomalies in Europe-Reference-Cited by-同舟云学术

Conditional Asset Pricing and Stock Market Anomalies in Europe

Published:2010-03 Issue:2 Volume:16 Page:165-190
ISSN:1354-7798
Container-title:European Financial Management
language:en
Short-container-title:

Author:

Bauer Rob,Cosemans Mathijs,Schotman Peter C.

Publisher

Wiley

Subject

General Economics, Econometrics and Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1468-036X.2008.00453.x/fullpdf

Reference46 articles.

1. Adrian, T. and Franzoni, F. , ‘Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM’, Working Paper (HEC School of Management, 2005).

2. Testing conditional asset pricing models using a Markov Chain Monte Carlo approach;Ammann;European Financial Management,2008

3. CAPM over the long run: 1926-2001;Ang;Journal of Empirical Finance,2007

4. Asset pricing models and financial market anomalies;Avramov;Review of Financial Studies,2006

5. The relation between return and market value of common stocks;Banz;Journal of Financial Economics,1981

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