Earticle

초록

영어

Given its striking empirical performance, we examine whether the Chen and Zhang (2010) model explains the time-varying patterns in stock returns, captured by the common conditioning variables. With a variety of test portfolios, we find that fitted conditional expected return (fit) is always statistically significant in the presence of the Chen-Zhang factors. Moreover, when the fit is included in the analysis, the magnitude of the Chen-Zhang factors is consistently smaller and the fit drives out the significance of the Chen-Zhang factors. Our empirical results cast some doubt on the validity of Chen-Zhang model as a conditional benchmark for risk adjustment.

목차

Abstract
 1 Introduction
 2 The Chen–Zhang Three-Factor Model
 3 Data and Empirical Methodology
  3.1 Data
  3.2 Empirical Methodology
 4 Empirical Evidence
  4.1 Performance of the Chen-Zhang model
  4.2 Necessity of Conditional Model
  4.3 Evidence from Cross-sectional Regressions
  4.4 Evidence from Individual Conditioning Variable
 5 Conclusion
 References
 Table

키워드

저자

• Hankil Kang [ KAIST Business School ]
• Jangkoo Kang [ KAIST Business School ]
• Changjun Lee [ KAIST Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330