Constructing Asset Pricing Models with Specific Factor Loadings

Ian Davidson, Qian Guo, Xiaojing Song, Mark Tippett

Research output: Contribution to journalArticle

2 Citations (Scopus)
Original languageEnglish
Pages (from-to)199-213
Number of pages15
JournalAbacus
Volume48
Issue number2
Early online date1 Jun 2012
DOIs
Publication statusPublished - Jun 2012

Keywords

  • Accruals quality
  • Average return
  • Beta
  • Capital asset pricing model
  • Inefficient portfolio
  • Market-to-book ratio
  • Size

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