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How common are common return factors across the NYSE and Nasdaq?
Goyal, Amit; Pérignon, Christophe; Villa, Christophe - In: Journal of financial economics 90 (2008) 3, pp. 252-271
Persistent link: https://www.econbiz.de/10003833349
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Is momentum really momentum?
Novy-Marx, Robert - In: Journal of financial economics 103 (2012) 3, pp. 429-453
Persistent link: https://www.econbiz.de/10009520656
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Frequency dependent risk
Neuhierl, Andreas; Varneskov, Rasmus Tangsgaard - In: Journal of financial economics 140 (2021) 2, pp. 644-675
Persistent link: https://www.econbiz.de/10012650626
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Spectral factor models
Bandi, Federico M.; Chaudhuri, Shomesh E.; Lo, Andrew W.; … - In: Journal of financial economics 142 (2021) 1, pp. 214-238
Persistent link: https://www.econbiz.de/10012650703
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Understanding momentum and reversal
Kelly, Bryan T.; Moskowitz, Tobias J.; Pruitt, Seth - In: Journal of financial economics 140 (2021) 3, pp. 726-743
Persistent link: https://www.econbiz.de/10013259592
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Lucky factors
Harvey, Campbell R.; Liu, Yan - In: Journal of financial economics 141 (2021), pp. 413-435
Persistent link: https://www.econbiz.de/10013259772
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Factors and risk premia in individual international stock returns
Chaieb, Ines; Langlois, Hugues; Scaillet, Olivier - In: Journal of financial economics 141 (2021) 2, pp. 669-692
Persistent link: https://www.econbiz.de/10013259849
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Lucky factors
Harvey, Campbell R.; Liu, Yan - In: Journal of financial economics 141 (2021) 2, pp. 413-435
Persistent link: https://www.econbiz.de/10013259856
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A trend factor : Any economic gains from using information over investment horizons?
Han, Yufeng; Zhou, Guofu; Zhu, Yingzi - In: Journal of financial economics 122 (2016) 2, pp. 352-375
Persistent link: https://www.econbiz.de/10011590910
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Choosing factors
Fama, Eugene F.; French, Kenneth Ronald - In: Journal of financial economics 128 (2018) 2, pp. 234-252
Persistent link: https://www.econbiz.de/10011971044