Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/6/3/567/5361440/060567.pdf
Reference34 articles.
1. Ammer J. Mei J. , 1992, “Measuring International Economic Linkages with Stock Market Data,” unpublished paper, Federal Reserve Board and New York University.
2. Stock returns and the term structure
3. A Variance Decomposition for Stock Returns
4. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
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