The Cross-Section of Expected Returns: Where We Stand Today
成果类型：
Article
署名作者：
Karolyi, G. Andrew
署名单位：
Cornell University
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/hhv124
发表日期：
2016
页码：
2
关键词：
摘要：
The Review of Financial Studies has among its missions the facilitation and promotion of a vigorous academic debate across unsettled questions in finance. This special section of Volume 29, Number 1 consists of three studies on the cross-section of expected returns. To what extent are our inferences about certain anomalous patterns in the cross-section of expected returns related to biases and inefficiencies in our testing procedures? Are all factor discoveries equally important? Do some proposed factors subsume the explanatory power of others? Is the after-trading-cost performance of some anomalies more resilient than that of others?