Yuan-Szu Chang

George Washington University - School of Business - Department of Finance

Funger Hall, Suite 501

2201 G Street, N.W.

Washington , DC 20052

United States

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Scholarly Papers (1)

1.

Return Decomposition: A Bayesian State-Space Model Approach

Number of pages: 76 Posted: 04 Nov 2012 Last Revised: 16 Mar 2015
Yuan-Szu Chang and Robert Savickas
George Washington University - School of Business - Department of Finance and George Washington University - School of Business - Department of Finance
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Abstract:

ICAPM, return decomposition, cash-flow news, discount-rate news, state-space model, value-premium, Bayesian