Can I read Journal of Financial Economics: Simon C. Smith, Allan Timmermann on EtoBox?
Journal of Financial Economics: Simon C. Smith, Allan Timmermann by dadast is a document available to read on EtoBox.
What is Journal of Financial Economics: Simon C. Smith, Allan Timmermann about?
The paper investigates changes in cross-sectional risk premia, revealing that size, value, and investment risk premia have significantly declined, nearing zero by the end of the sample period, while the market risk premium remains positive. The authors introduce a new methodology to identify breaks in risk premia, finding four significant breaks coinciding with major economic events. Additionally, they construct an instability risk factor that shows significant returns, indicating that stocks with higher se
- Author
- dadast
- Language
- EN