• Medientyp: E-Artikel
  • Titel: Analysis of industry risk premium with MVS three dimensions vector factor model
  • Beteiligte: Sun, Feng [Verfasser:in]; Liu, Cheng [Verfasser:in]; Zhou, Xiaoguang [Verfasser:in]
  • Erschienen: Abingdon: Taylor & Francis, 2017
  • Sprache: Englisch
  • DOI: https://doi.org/10.1080/23322039.2017.1374814
  • ISSN: 2332-2039
  • Schlagwörter: industry risk ; noise investor irrational sentiment ; industry MVS model
  • Entstehung:
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  • Beschreibung: It is very important to identify deviation mechanism of price volatility of an industry asset and the affecting factors, and it is important to give the reasonable explanation and measurement to the abnormality of price volatility of the industry asset. This paper adopts heterogeneous panel and exploratory factor analysis methods, measuring industry risk by industry risk premium index, and constructs an industry MVS three dimensions vector factor model to analyze the factors consistent and affecting extent to industry risk. Furthermore, this paper analyzes simultaneously the linkage effect and working mechanism of multi-industries risks and gives an empirical research to determinants mechanism affecting industry risk.
  • Zugangsstatus: Freier Zugang
  • Rechte-/Nutzungshinweise: Namensnennung (CC BY)