Sentence examples for cross section of returns from inspiring English sources
More recently, Hirshleifer et al. (2017) study the effect of mood on the cross section of returns by using mood-mimicking returns and find that mood is a valid explanation of the day-of-the-week effect.
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns.
(2012b) show that SMB only plays, if any, a minor role for explaining the German cross section of stock returns.
Our null hypothesis is that the FFC-model explains the cross section of stock returns while the alternative hypothesis is a characteristics model for the German stock market.
The work by Maggiori (2013) and this paper differ from this recent literature insofar as the focus of the latter is mainly on the cross section of currency returns and unconditional moments.
More recently, Hirshleifer et al. (2017) find supporting evidence for the behavioral explanation of the day-of-the-week effect by using mood-mimicking returns to study the cross-section of returns.
Sustainable Responsible Investing and the Cross-Section of Return and Risk: The identification of factors that predict the cross-section of stock returns has been a focus of asset pricing theory for decades.
(2007) find that SMB has some explanatory power for the cross section of German stock market returns.
The dispersion in the cross section of German stock market returns seems to be related to BE/ME rather than to the exposure to HML.
The empirical evidence in the literature on the role of SMB for explaining the cross section of German stock market returns and on the existence of a size effect is mixed.
Virtually all German studies provide empirical evidence that a BE/ME anomaly exists and that HML helps to explain the differences in the cross section of the German stock market returns.
