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 ...

Capital asset pricing is very important to the development of listed companies. It not only related performance micro enterprises, but also stability and macro financial markets. Therefore, in-depth study law influencing factors companies’ return on capital assets a theoretical problem worthy exploration, has significant practical significance. In this paper, 160 stocks from 2012 2021 are selec...

In this paper we develop a continuous-time general equilibrium model in a representative exchange economy with incomplete information. We show, in a multiple assets setting, that state uncertainty risk is priced and commands additional (state-dependent) premium. It is affected by both the investor’s estimate of the state of the economy, as well as the uncertainty about her estimation. Moreover,...

This paper features a statistical analysis of the monthly three factor Fama/French return series. Rolling OLS regressions explore relationship between 3 factors, using data from July 1926 to June 2018, available on French’s website. The results suggest there are significant and time-varying relationships factors. A sub-sample 1990 2018 is used analyze series two-stage least squares Hausman test...

Gignac (2005) and Palmer, Gignac, Manocha, and Stough (2005) recently raised important issues concerning the construct validity of the Mayer–Salovey–Caruso Emotional Intelligence Test Version 2.0 (MSCEIT; Mayer, Salovey, & Caruso, 2002). This study sought to further examine the constructs measured by the MSCEIT by replicating and extending their research through confirmatory factor analyses (CF...