Avramov, Doron; Chordia, Tarun - In: Review of Financial Studies 19 (2006) 3, pp. 1001-1040
This article develops a framework that applies to single securities to test whether asset pricing models can explain the size, value, and momentum anomalies. Stock level beta is allowed to vary with firm-level size and book-to-market as well as with macroeconomic variables. With constant beta,...