GlostenJagannathanRunkle
The GlostenJagannathanRunkle (GJR) model is a widely used factor model in empirical asset pricing. It was developed by Lawrence Glosten, Ravi Jagannathan, and Kris Runkle and published in the Journal of Finance in 1993. The GJR model extends the traditional Fama-French three-factor model by incorporating a "momentum" factor, also known as the reversal factor.
The core idea behind the GJR model is that stock returns are influenced by a set of
The GJR model aims to provide a more comprehensive explanation of cross-sectional variations in asset returns