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

DOI10.1080/14697681003762271zbMath1279.91196OpenAlexW2008722404MaRDI QIDQ2869991

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

asset pricingbounded rationalitybehavioral financeFama-French factorsgradual-information-diffusion hypothesisinformation and market efficiencylimited information-processing capacity

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (1)

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

Cites Work

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

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