Hung, Chi-Hsiou D.; Azad, A.S.M. Sohel; Fang, Victor - In: Journal of International Financial Markets, … 31 (2014) C, pp. 14-29
In this paper we evaluate the intertemporal pricing performance of stock return determinants over the periods surrounding, and outside of, financial crises. The analysis focuses on the variables of size, book-to-market ratio, momentum, liquidity, and higher-order systematic co-moments. The...