Capital Share Risk in International Asset Pricing
نویسندگان
چکیده
Zusammenfassung In a seminal study, Lettau et al. (2019) demonstrate that single macroeconomic factor can explain wide range of equity and nonequity portfolio returns within the U.S. market. This factor, which is based on growth in capital share aggregate income, able to outperform, yet even subsume information well-established models as for instance Fama-French three model. The aim this paper study whether explanatory power maintains across international markets.
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ژورنال
عنوان ژورنال: Gabler Theses
سال: 2021
ISSN: ['2731-3239', '2731-3220']
DOI: https://doi.org/10.1007/978-3-658-35479-4_3