PENGUJIAN FAMA & FRENCH FIVE-FACTORS ASSET PRICING MODEL PADA INDEKS LQ 45 PERIODE 2014-2018
نویسندگان
چکیده
منابع مشابه
Intertemporal Capital Asset Pricing and the Fama-French Three-Factor Model∗
Characterizing the instantaneous investment opportunity set by the real interest rate and the maximum Sharpe ratio, a simple model of time varying investment opportunities is posited in which these two variables follow correlated Ornstein-Uhlenbeck processes, and the implications for stock and bond valuation are developed. The model suggests that the prices of certain portfolios that are relate...
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Characterizing the instantaneous investment opportunity set by the real interest rate and the maximum Sharpe ratio, a simple model of time varying investment opportunities is posited in which these two variables follow correlated Ornstein-Uhlenbeck processes, and the implications for stock and bond valuation are developed. The model suggests that the prices of certain portfolios that are relate...
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ژورنال
عنوان ژورنال: BISMA
سال: 2019
ISSN: 2623-0879,1978-3108
DOI: 10.19184/bisma.v13i3.10981