Li, Bob; Boo, Yee Ling; Ee, Mong Shan; Chen, Cindy - In: International Review of Financial Analysis 28 (2013) C, pp. 174-181
It is widely accepted that some firms' attributes or characteristics, such as a firm's size or book-to-market ratio, attract premiums in terms of average returns, which is a pervasive phenomenon not restricted to just a few individual markets. However, the way to derive these premiums by sorting...