Research on the Decisive Factors of Portfolio Return in Stock Market - Based on the Extension of Five-factor Asset Pricing Model.
Yuzhe HuBoru LiuJiayi WuSuwen ZhengPublished in: IC4E (2022)
Keyphrases
- stock market
- pricing model
- stock price
- sharpe ratio
- portfolio optimization
- investment strategies
- financial markets
- stock exchange
- portfolio management
- trading strategies
- short term
- financial data
- market data
- convertible bonds
- transaction costs
- portfolio selection
- financial time series
- trading rules
- bi level
- long term
- stock data
- stock trading
- stock returns
- investment decisions
- dynamic pricing
- exchange rate
- real option
- chinese stock market
- garch model
- market prices
- stock index futures
- supply chain
- key factors
- empirical analysis
- pricing mechanism