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Results tagged with equities
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user 5896
Shares of stock traded in a stock market. Equities represent the residual claim or interest of the most junior class of investors in assets, after all liabilities are paid.
6
votes
3
answers
1k
views
Testing the validity of a factor model for stock returns
Consider the following m regression equation system:
$$r^i = X^i \beta^i + \epsilon^i \;\;\; \text{for} \;i=1,2,3,..,n$$
where $r^i$ is a $(T\times 1)$ vector of the T observations of the dependent …
- 662
18
votes
1
answer
2k
views
Testing Valuation, Size and Momentum (proprietary factors) from 1988-2013: No evidence of dr...
I am currently testing whether three proprietary factors - Valuation, Size and Momentum - explain cross-sectional returns. A sample of 3000 securities was tested using Fama-MacBeth two-pass regressio …
- 662
4
votes
4
answers
668
views
Validity of CAPM
I came across some literature regarding "Framing Theory" or "Prospect Theory", and the validity of CAPM. I was wondering if you could shed some light on a few questions I have in this regard:
Accordi …
- 662