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Recursos bibliográficos en papel y digitales -
- libros, artículos de revistas,
ponencias de eventos, etc. -
» Resultado: 4 registros
| Registro 1 de 4 | |
| Autor: | Jagannathan, Ravi - Wang, Zhenyu - |
| Título: | An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression |
| Fuente: | Journal of Finance. v.53, n.4. American Finance Association |
| Páginas: | pp. 1285-1309 |
| Año: | Aug. 1998 |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 2 de 4 | |
| Autor: | Jagannathan, Ravi - Wang, Zhenyu - |
| Título: | A Note on the Asymptotic Covariance in Fama-MacBeth Regressions |
| Fuente: | Journal of Finance. v.53, n.2. American Finance Association |
| Páginas: | pp. 799-801 |
| Año: | Apr. 1998 |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 3 de 4 | |
| Autor: | Wang, Zhenyu - |
| Título: | Efficiency Loss and Constraints on Portfolio Holdings |
| Fuente: | Journal of Financial Economics. v.48, n.3. Elsevier Science |
| Páginas: | pp. 359-75 |
| Año: | June 1998 |
| Resumen: | This paper examines the degree of portfolio inefficiency subject to various constraints on portfolio weights. When portfolio weights are unconstrained, the posterior loss in expected return on the NYSE-AMEX market portfolio is over 20 percent (annualized). In contrast, when portfolio weights are constrained to be nonnegative, the posterior loss in expected return is only about 4 percent (annualized). In addition, short-sale constraints greatly reduce uncertainty in inferences about portfolio efficiency. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 4 de 4 | |
| Autor: | Jagannathan, Ravi - Wang, Zhenyu - |
| Título: | The Conditional CAPM and the Cross-Section of Expected Returns |
| Fuente: | Journal of Finance. v.51, n.1. American Finance Association |
| Páginas: | pp. 3-53 |
| Año: | Mar. 1996 |
| Resumen: | Most empirical studies of the static capital asset pricing model (CAPM) assume that betas remain constant over time and that the return on the value-weighted portfolio of all stocks is a proxy for the return on aggregate wealth. The general consensus is that the static CAPM is unable to explain satisfactorily the cross-section of average returns on stocks. The authors assume that the CAPM holds in a conditional sense, i.e., betas and the market risk premium vary over time. They include the return on human capital when measuring the return on aggregate wealth. The authors’ specification performs well in explaining the cross-section of average returns. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
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