{"title":"美国股市的非线性因素回报率","authors":"Roger Clarke, Harindra de Silva, Steven Thorley","doi":"10.1080/0015198x.2024.2351020","DOIUrl":null,"url":null,"abstract":"We examine nonlinear return-to-characteristic relationships for five equity market factors: value, momentum, small size, low beta, and profitability. Our study employs monthly returns and character...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"72 1","pages":""},"PeriodicalIF":3.4000,"publicationDate":"2024-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Nonlinear Factor Returns in the US Equity Market\",\"authors\":\"Roger Clarke, Harindra de Silva, Steven Thorley\",\"doi\":\"10.1080/0015198x.2024.2351020\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We examine nonlinear return-to-characteristic relationships for five equity market factors: value, momentum, small size, low beta, and profitability. Our study employs monthly returns and character...\",\"PeriodicalId\":48062,\"journal\":{\"name\":\"Financial Analysts Journal\",\"volume\":\"72 1\",\"pages\":\"\"},\"PeriodicalIF\":3.4000,\"publicationDate\":\"2024-06-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Financial Analysts Journal\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/0015198x.2024.2351020\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Analysts Journal","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/0015198x.2024.2351020","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
We examine nonlinear return-to-characteristic relationships for five equity market factors: value, momentum, small size, low beta, and profitability. Our study employs monthly returns and character...
期刊介绍：
The Financial Analysts Journal aims to be the leading practitioner journal in the investment management community by advancing the knowledge and understanding of the practice of investment management through the publication of rigorous, peer-reviewed, practitioner-relevant research from leading academics and practitioners.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
