Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield
نویسندگان
چکیده
منابع مشابه
Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield
In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in risk as well as expected return,...
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In the asset pricing literature, time-variation in market expected excess return tracked by financial ratios like dividend yield is typically attributed either to changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in risk as well as expected return, we develop B...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2001
ISSN: 1556-5068
DOI: 10.2139/ssrn.292747