How did Kolari, Liu, and Zhang (KLH) (2021) compute mean market returns as well as the return

Question:

How did Kolari, Liu, and Zhang (KLH) (2021) compute mean market returns as well as the return dispersion for U.S. stocks? Are equal-weighted or value weighted return used in their computations of these factors?

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

Investment Valuation And Asset Pricing Models And Methods

ISBN: 9783031167836

1st Edition

Authors: James W. Kolari, Seppo Pynnönen

See More Books

Question Posted: Mar 05, 2024 06:00 AM

See More Questions

Let A, B be sets. Define: (a) the Cartesian product (A B) (b) the set of relations R between A and B (c) the identity relation A on the set A [3 marks] Suppose S, T are relations between A and B, and...
Northern Virginia Community College HOW MUCH FINANCIAL RISK SHOULD YOU TAKE? Mark D. D'Antonio Nova Southeastern University FORT LAUDERDALE, FLORIDA, U.S.A. Abstract A successful retirement...
Q1. You have identified a market opportunity for home media players that would cater for older members of the population. Many older people have difficulty in understanding the operating principles...
The controller of Northwest Hardware has just received two forecasts for sales in the Montana District for the coming year. Based on an econometric analysis of consumer spending and economic trends,...
Friedrich Schneider, an economist at the Johannes Kepler University of Linz in Austria, made the following observation about China: "The average Chinese trusts neither the Chinese banks nor the...
When you are recording facts about a database, what phase is that?
1. Find all local extrema of each of the following functions. (a) f(x, y) = x2 - xy + y3 - y. (b) f(x, y) = sinx + cosy. (c) f(x, y, z) = eX+Y cos z. (d) f(x, y) = ax2 + bxy + cy2, where a f 0 and b2...
Missoula Railroad decided to use the high-low method and operating data from the past six months to estimate the fixed and variable components of transportation costs. The activity base used by...
The following information pertains to the year ended June 30, 2023 : 1. South billed tuition and fees totaling $1,095,000 and provided $181,000 in scholarship waivers. 2. Unearned revenue at June 30,...
a. Use the CAPM to compute the required rate of return on common equity capital for Starbucks. b. Using your projected financial statements from Case 10.1 for Starbucks, begin with projected net cash...
Kolari, Liu, and Zhang (KLH) (2021) conducted out-of-sample Fama and Mac- Beth (1973) cross-sectional regression tests for the empirical ZCAPM and a number of other models, including the market model...
Kolari, Liu, and Zhang (KLH) (2021) proposed a novel empirical ZCAPM to capture positive and negative sensitivity to return dispersion (i.e., zeta risk). Write their empirical model. What is D it in...
A firm is considering outsourcing its domestic production from the United States to a third-party manufacturer located in Asia. What is the impact of offshoring on the firms provisions (including...
In your opinion, do you feel the Six Pillars apply primarily to business-to-consumer marketing, business-to-business marketing, or both?
Place yourself in context; You're working, trying to do well, running into all sorts of organizational constraints. First, describe a scenario to illustrate one of the eight organizational...
what ways do mindfulness-based stress reduction (MBSR) techniques contribute to reducing stress, and what are their limitations ?
How do search engines understand "user experience" to evaluate organic rankings?
How do you think a risk manager might work through a difference of opinion with a unit manager? Explain in details.
A brand manager for ColPal Products must determine how much time to allocate between radio and television advertising during the next month. Market research has provided estimates of the audience...
(8%) Problem 6: A student attaches a f= 3.5 kHz oscillator to one end of a metal rail of length L = 25 m. The student turns on the oscillator and uses a piezoelectric gauge at the other end to...
What is the yield of the November 17 STRIPS expressed as an EAR? U.S. Treasury STRIPS, close of business November 15, 2015: Price Price Maturity November '19 Maturity November '16 99.471 95.035...
The treasurer of a large corporation wants to invest $20 million in excess short-term cash in a particular money market investment. The prospectus quotes the instrument at a true yield of 3.15...
A Treasury bill purchased in December 2016 has 55 days until maturity and a bank discount yield of 2.48 percent. What is the price of the bill as a percentage of face value? What is the bond...
The tolal landed coet with the order gaantly sire of 6,000 unts is 4 (Enter your response roundod to the nearest dolar)
Boyne Inc. had beginning inventory of $12,000 at cost and $20,000 at retail. Net purchases were $120,000 at cost and $170,000 at retail. Net markups were $10,000, net markdowns were $7,000, and sales...
Apple inc. CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (In milions, except number of shares which are reflected in thousands and par value) LABILITES AND SHAREHOLDERS' EQUITY: Current...

How did Kolari, Liu, and Zhang (KLH) (2021) compute mean market returns as well as the return

Question:

Step by Step Answer:

Answer Kolari Liu and Zhang KLH 2021 computed mean market returns and return dispersion for US stock...View the full answer

Investment Valuation And Asset Pricing Models And Methods

Students also viewed these Business questions