Identifying portfolio-based systematic risk factors in equity markets

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Sammanfattning

Four prominent new asset pricing factors have recently been proposed. We test whether these factors fulfill the necessary conditions to qualify as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk-based explanations.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftFinance Research Letters
Volym17
UtgåvaMay
Sidor (från-till)88-92
Antal sidor5
ISSN1544-6123
DOI
StatusPublicerad - 2016
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

  • 511 Nationalekonomi
  • 512 Företagsekonomi

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