Roon, Frans de; Szymanowska, Marta - In: Management Science 58 (2012) 10, pp. 1916-1932
U.S. stock portfolios sorted on size; momentum; transaction costs; market-to-book, investment-to-assets, and return-on-assets (ROA) ratios; and industry classification show considerable levels and variation of return predictability, inconsistent with asset pricing models. This means that a...