Asset-pricing anomalies at the firm level

DOI10.1016/J.JECONOM.2014.06.004zbMath1331.62398OpenAlexW3123372976MaRDI QIDQ2346021

Scott Cederburg, Michael S. O'Doherty

Publication date: 29 May 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.06.004

zbMATH Keywords

factor modelshierarchical Bayesasset-pricing anomalies

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Portfolio theory (91G10)

Related Items (1)

Size effect in Indian equity market: myth or reality?

Uses Software

• bayesm

Cites Work

• Bayesian Statistics and Marketing
• Predicting Risk: Some New Generalizations
• The Effect of Improper Priors on Gibbs Sampling in Hierarchical Linear Mixed Models
• An Intertemporal Capital Asset Pricing Model
• Common risk factors in the returns on stocks and bonds

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