Mills, T. C.; Jordanov, J. V. - In: Applied Financial Economics 13 (2003) 11, pp. 807-815
This paper examines the predictability of size portfolio returns using a new database constructed from the London Stock Exchange for the period 1985-1995. Predictability of returns, both adjusted and unadjusted for risk, are examined and, because evidence of nonlinearity and nonnormality is...