Neoclassical factors
By: Long Chen, Lu Zhang
Contributors: Zhang, Lu; National Bureau of Economic Research
Series: NBER working paper series -- working paper 13282; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13282.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "The cross section of returns can largely be summarized by the market factor and mimicking portfolios based on investment-to-assets and earnings-to-assets motivated from neoclassical reasoning.  The neoclassical three-factor model can capture average return variations related to momentum and financial distress anomalous to traditional factor models.  The model also captures the relations of average returns with earnings-to-price, cash flow-to-price, book-to-market, dividend-to-price, long-term past sales growth, long-term prior returns, and market leverage"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 8/21/2007.

Includes bibliographical references.

Also available in print.

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Mode of access: World Wide Web.