• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文会议>2006年中国国际金融年会 >An Examination of Conditional Effect on Cross-Sectional Returns:Singapore Evidence
【24h】

An Examination of Conditional Effect on Cross-Sectional Returns:Singapore Evidence

机译：跨部门收益的条件效应检验：新加坡证据

获取原文
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This paper examines the application of conditional effect across up and down markets based on the sign of market excess return to market beta and to some firm-specific factors of firm size,book-to-market equity ratio(B/M),and earnings-to-price ratio(E/P).Consistent with previous studies,though beta plays no role under unconditional framework,there is evidence of a significantly positive(negative)risk premium on beta during periods of up (down)markets,supporting for the continuous use of beta as a risk measure.Interestingly,our results show that firm size is the only significant variable in explaining average returns but loses its capability to do so under the unconditional and conditional frameworks respectively.Moreover,significant conditional effect of E/P is found.Although B/M alone is not significantly conditionally related to returns,in Various combinations with beta,it becomes significant and the joint role of beta and B/M has an“amplified”gain in the explanatory power.We also find evidence that investors in the Singapore stock market react virtually the same to these firm-specific factors and to beta during up and down markets.
机译：本文基于市场超额收益返回市场beta的迹象以及一些公司特定的公司规模，账面市值（B / M）和收益等特定因素，研究了条件效应在上下市场中的应用。市盈率（E / P）。与先前的研究一致，尽管beta在无条件框架下不起作用，但有证据表明，在上升（下降）市场期间，beta的风险溢价明显为正（负），为有趣的是，我们的结果表明，公司规模是解释平均回报的唯一重要变量，但分别在无条件和有条件的框架下失去了这样做的能力。尽管有单独的B / M与收益并没有显着的条件相关性，但在与beta的各种组合中，B / M变得显着，并且beta和B / M的联合作用在解释力上具有“放大”的收益。 nd证据表明，新加坡股票市场的投资者对这些公司特定因素和上下市场中的beta的反应几乎相同。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号