Constructing Asset Pricing Models with Specific Factor Loadings

Ian Davidson; Qian Guo; Xiaojing Song; Mark Tippett

doi:10.1111/j.1467-6281.2012.00361.x

Constructing Asset Pricing Models with Specific Factor Loadings

Ian Davidson, Qian Guo, Xiaojing Song, Mark Tippett

Norwich Business School

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Original language	English
Pages (from-to)	199-213
Number of pages	15
Journal	Abacus
Volume	48
Issue number	2
Early online date	1 Jun 2012
DOIs	https://doi.org/10.1111/j.1467-6281.2012.00361.x
Publication status	Published - Jun 2012

Keywords

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

Access to Document

10.1111/j.1467-6281.2012.00361.x

Cite this

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title = "Constructing Asset Pricing Models with Specific Factor Loadings",

keywords = "Accruals quality, Average return, Beta, Capital asset pricing model, Inefficient portfolio, Market-to-book ratio, Size",

author = "Ian Davidson and Qian Guo and Xiaojing Song and Mark Tippett",

year = "2012",

month = jun,

doi = "10.1111/j.1467-6281.2012.00361.x",

language = "English",

volume = "48",

pages = "199--213",

journal = "Abacus",

issn = "0001-3072",

publisher = "Wiley",

number = "2",

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AU - Davidson, Ian

AU - Guo, Qian

AU - Song, Xiaojing

AU - Tippett, Mark

PY - 2012/6

Y1 - 2012/6

KW - Accruals quality

KW - Average return

KW - Beta

KW - Capital asset pricing model

KW - Inefficient portfolio

KW - Market-to-book ratio

KW - Size

U2 - 10.1111/j.1467-6281.2012.00361.x

DO - 10.1111/j.1467-6281.2012.00361.x

M3 - Article

VL - 48

SP - 199

EP - 213

JO - Abacus

JF - Abacus

SN - 0001-3072

IS - 2

ER -