Browsing BI Open by Author "Maio, Paulo"

Now showing items 1-2 of 2

    • Asset Growth, Profitability, and Investment Opportunities 

      Cooper, Ilan; Maio, Paulo (Journal article; Peer reviewed, 2018)
      We show that recent prominent equity factor models are to a large degreecompatible with the Intertemporal CAPM (ICAPM) framework. Factors associated withalternative profitability measures forecast the equity premium in a ...

    • New Evidence on Conditional Factor Models 

      Cooper, Ilan; Maio, Paulo (Journal article; Peer reviewed, 2018)
      We estimate conditional multifactor models over a large cross section of stock returns matching 25 CAPM anomalies. Using conditioning information associated with different instruments improves the performance of the Hou, ...