Yield Spreads as Alternative Risk Factors for Size and Book-to-Market

By Jaehoon Hahn, Hangyong Lee. Journal of Financial and Quantitative Analysis, 2006

246 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Investor Sentiment and the Stock Market’s Reaction to Monetary Policy (2010, unknown): “hypothesis, Klibanoff et al. (1998) and Peress (2008) show that information is incorporated into the prices faster when it is covered more prominently in the news media.”
Multifactor models and their consistency with the ICAPM (2012, unknown): “The first model we estimate is the ICAPM version of Hahn and Lee (2006), in which the additional risk factors relative to the market factor are the innovations in TERM and DEF: EðRi,tþ1 Rf ,tþ1Þ ¼ g CovðRi,tþ1 Rf ,tþ1,RMtþ1Þ þgTERM CovðRi,tþ1 Rf ,tþ1,DTERMtþ1Þ þgDEF CovðRi,tþ1 Rf ,tþ1,DDEFtþ1Þ:…”
Macroeconomic risks and characteristic-based factor models (2010, background): “, evidence suggests that the Fama and French (FF) benchmark factors, HML and SMB, capture shocks to economic growth expectations (Vassalou, 2003; Liew and Vassalou, 2000), default risk (Hahn and Lee, 2006; Petkova, 2006; Vassalou and Xing, 2004) and the term structure (Hahn and Lee, 2006; Petkova, 2”
Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums (2010, background): “…(1998), (2008), Gomes, Kogan, and Zhang (GKZ) (2003), Griffin, Ji, and Martin (2003), Grundy and Martin (2001), Gulen, Xing, and Zhang (2008), Hahn and Lee (2006), Jegadeesh and Titman (1993), (2002), Johnson (2002), Liu and Zhang (2008), Petkova and Zhang (2005), Sagi and Seasholes (2007),…”