IMPUTING EXPECTED SECURITY RETURNS FROM PORTFOLIO COMPOSITION

被引：27

|

作者：

SHARPE, WF ^{[1
]}

机构：

[1] STANFORD UNIV,STANFORD,CA 94305

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1974年 / 9卷 / 03期

关键词：

D O I：

10.2307/2329873

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：463 / 472

页数：10

相关论文

共 50 条

[21] A labor news hedge portfolio and the cross-section of expected stock returns
Stotz, Olaf
JOURNAL OF EMPIRICAL FINANCE, 2018, 48 : 123 - 139
[22] Expectations of Returns and Expected Returns
Greenwood, Robin
Shleifer, Andrei
REVIEW OF FINANCIAL STUDIES, 2014, 27 (03): : 714 - 746
[23] CHANGES IN EXPECTED SECURITY RETURNS, RISK, AND THE LEVEL OF INTEREST-RATES
FERSON, WE
JOURNAL OF FINANCE, 1989, 44 (05): : 1191 - 1217
[24] Better returns expected from revised project
Scales, Marilyn
CANADIAN MINING JOURNAL, 2006, 127 (03) : 11 - 14
[25] Expected returns and expected dividend growth
Lettau, M
Ludvigson, SC
JOURNAL OF FINANCIAL ECONOMICS, 2005, 76 (03) : 583 - 626
[26] Diminishing Returns of QE from Portfolio Rebalancing
Van den End, Jan Willem
JOURNAL OF INVESTING, 2018, 27 (04): : 106 - 111
[27] Reversal returns and expected returns from liquidity provision: Evidence from emerging markets
Butt, Hilal Anwar
Hogholm, Kenneth
Sadaqat, Mohsin
JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT, 2021, 59
[28] Markowitz Portfolio Selection Using Various Estimators of Expected Returns and Filtering Techniques for Correlation Matrices
London, Andras
Gera, Imre
Banhelyi, Balazs
ACTA POLYTECHNICA HUNGARICA, 2018, 15 (01) : 217 - 229
[29] The misuse of expected returns
Hughson, Eric
Stutzer, Michael
Yung, Chris
FINANCIAL ANALYSTS JOURNAL, 2006, 62 (06) : 88 - 96
[30] Earnings and expected returns
Lamont, O
JOURNAL OF FINANCE, 1998, 53 (05): : 1563 - 1587

← 1 2 3 4 5 →