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This paper compares the size and book-to-market value factors of Fama and French (1993) alongside Momentum of Jagadeesh and Titman (1993) with two Liu (2006) liquidity factors formed from 1 year rebalancing and 1 month rebalancing respectively. A heterogeneous and comprehensive sample of the top...
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This manuscript is the author's response to: "Dochtermann, N.A. & Jenkins, S.H. Multivariate methods and small sample sizes, Ethology, 117, 95-101." and accompanies this paper: "Budaev, S. Using principal components and factor analysis in animal behaviour research: Caveats and guidelines....
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