The Aumann-Serrano risk factor and asset pricing: evidence from the Chinese A-share market

2019 
Empirical evidence shows that a single-factor model using the Aumann-Serrano riskiness index dominates both the CAPM and Fama-French three-factor model because the index captures information on higher-order moments
    • Correction
    • Source
    • Cite
    • Save
    • Machine Reading By IdeaReader
    33
    References
    1
    Citations
    NaN
    KQI
    []