Una evaluación de los precios de los activos para los rendimientos de las carteras de la industria estadounidense
DOI:
https://doi.org/10.48047/c789nh55Keywords:
CAPM, modelo francés de tres factores, modelo francés de cinco factores.Abstract
Esta investigación investiga los factores de precios de los activos que afectan los rendimientos de los bonos del Tesoro de Estados Unidos. carteras industriales, evaluando la eficacia de los modelos factoriales tanto tradicionales como novedosos. Exploramos las variaciones en los retornos específicos de la industria a través de marcos establecidos, incluido el Modelo de fijación de precios de activos de capital (CAPM), así como los modelos de tres y cinco factores de Fama French, junto con factores alternativos basados en el riesgo y el comportamiento.
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References
Ang, A., Hodrick, R.J., Xing, Y. and Zhang, X., 2006. 'The Cross-Section of Volatility and Expected Returns.' Journal of Finance, 61(1), pp.259-299. 18
Baker, M. and Wurgler, J., 2002. 'Market Timing and Capital Structure.' Journal of Finance, 57(1), pp.1-32. 13
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