SYSTEMATIC-RISK, TOTAL RISK AND SIZE AS DETERMINANTS OF STOCK-MARKET RETURNS

被引：70

作者：

LAKONISHOK, J

SHAPIRO, AC

机构：

[1] CORNELL UNIV,ITHACA,NY 14853

[2] UNIV SO CALIF,LOS ANGELES,CA 90007

来源：

JOURNAL OF BANKING & FINANCE | 1986年 / 10卷 / 01期

关键词：

D O I：

10.1016/0378-4266(86)90023-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：115 / 132

页数：18

共 22 条

[1]

BANZ RW, 1981, J FINANCIAL EC MAR, P3

[2]

BASU J, 1982, RESIDUAL RISK FIRM S

[3]

Black F., 1974, J FINANC ECON, V1, P1, DOI DOI 10.1016/0304-405X(74)90006-3

[4] RISK, RETURN, AND EQUILIBRIUM - EMPIRICAL TESTS [J].

FAMA, EF ;

MACBETH, JD .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :607-636

[5]

FRIEND IW, 1981, J BANKING FINANC SEP, P291

[6]

Jensen M. C., 1972, CAPITAL ASSET PRICIN

[7] SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY - FURTHER EMPIRICAL-EVIDENCE [J].

KEIM, DB .

JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (01) :13-32

[8] EFFECT OF LIMITED INFORMATION AND ESTIMATION RISK ON OPTIMAL PORTFOLIO DIVERSIFICATION [J].

KLEIN, RW ;

BAWA, VS .

JOURNAL OF FINANCIAL ECONOMICS, 1977, 5 (01) :89-111

[9] VOLUME AND TURN-OF-THE-YEAR BEHAVIOR [J].

LAKONISHOK, J ;

SMIDT, S .

JOURNAL OF FINANCIAL ECONOMICS, 1984, 13 (03) :435-455

[10]

LEVY H, 1978, AM ECON REV, V68, P643

← 1 2 3 →