Nonlinear Factor Returns in the US Equity Market

IF 3.4 3区经济学 Q1 BUSINESS, FINANCE

Financial Analysts Journal Pub Date : 2024-06-12 DOI:10.1080/0015198x.2024.2351020

Roger Clarke, Harindra de Silva, Steven Thorley

引用次数: 0

Abstract

We examine nonlinear return-to-characteristic relationships for five equity market factors: value, momentum, small size, low beta, and profitability. Our study employs monthly returns and character...

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美国股市的非线性因素回报率

我们研究了价值、动量、小规模、低贝塔值和盈利能力这五种股票市场因子的非线性回报与特征关系。我们的研究采用了月度回报率和特征。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Financial Analysts Journal BUSINESS, FINANCE-

CiteScore

5.40

自引率

7.10%

发文量

期刊介绍： The Financial Analysts Journal aims to be the leading practitioner journal in the investment management community by advancing the knowledge and understanding of the practice of investment management through the publication of rigorous, peer-reviewed, practitioner-relevant research from leading academics and practitioners.