Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence
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DOI: 10.1016/j.jbankfin.2014.04.016
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- Li, Yuming, 2018. "Investment and profitability versus value and momentum: The price of residual risk," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 1-10.
- Licheng Sun & Liang Meng & Mohammad Najand, 2017. "The Role of U.S. Market on International Risk-Return Tradeoff Relations," The Financial Review, Eastern Finance Association, vol. 52(3), pages 499-526, August.
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Keywords
Investment factor; ICAPM; Investment opportunities; GARCH; MIDAS;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
Statistics
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