Chou, Pin-Huang; Li, Wen-Shen; Rhee, S. Ghon; Wang, Jane-Sue - In: Managerial Finance 33 (2007), pp. 534-552
Purpose -The main purpose of this study is to examine whether macroeconomic variables could subsume the size and book-to-market (BM) anomalies for longer-return intervals using Tokyo Stock Exchange-listed stocks. Design/methodology/approach -The Fama-MacBeth cross-sectional regressions of...
