Browsing Faculty of Business by Subject "Asset pricing"
Now showing items 1-2 of 2
(Elsevier, 2016-11)We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment ...
(Elsevier, 2019-09)We provide theoretical and empirical arguments in favor of a diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, investors with different risk aversion levels ...
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