Empirical study of the determinants of expected stock returns : a case for large stocks in the U.S.
Cai, Shu Juan
Chiang, Zi Ling
Wan, Wee Min
Date of Issue2004
College of Business (Nanyang Business School)
Our research paper analyzes the application of the expected return factor model in the current U.S. market with relevance to the 500 largest stocks. Incorporating several factors from Haugen and Baker (1996), our study discovered a number of firm-specific characteristics that can be used as determinants in expected stock returns.
Final Year Project (FYP)
Nanyang Technological University