Do industries contain predictive information for the Fama-French factors?

DOI10.1080/14697681003762271MaRDI QIDQ2869991zbMATH OpenOpenAlexFDO

Authors Chikashi Tsuji

Publication date 17 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697681003762271

zbMATH Keywords

bounded rationalityasset pricingbehavioral financeFama-French factorsgradual-information-diffusion hypothesisinformation and market efficiencylimited information-processing capacity

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Cited in

(1)

• A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests

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