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Firm size, book-to-market ratio and the macroeconomic environment : theory and test
Mossman, Charles E.; Rakhmayil, Sergiy - In: Applied economics 43 (2011) 19/21, pp. 2417-2431
Persistent link: https://www.econbiz.de/10009379723
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When do characteristics-sorted factors mechanically explain returns?
Murtazashvili, Irina; Vozlyublennaia, Nadia - In: Journal of international financial markets, … 25 (2013), pp. 119-143
Persistent link: https://www.econbiz.de/10009762798
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The small firm effect and the random walk hypothesis : evidence from the London Stock Exchange using Markov chains
Mills, Terence C.; Jordanov, Jordan - 1999
Persistent link: https://www.econbiz.de/10001428365
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The size effect and the random walk hypothesis : evidence from the London stock exchange using Markov chains
Mills, Terence C.; Jordanov, J. V. - In: Applied financial economics 13 (2003) 11, pp. 807-815
Persistent link: https://www.econbiz.de/10001804430
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The premium for default risk in stock returns
Shumway, Tyler - 1996
Persistent link: https://www.econbiz.de/10000972133
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Leverage, Beta Estimation, and the Size Effect
Drobetz, Wolfgang - 2014
A measurement error in beta that arises from changes in leverage during the beta estimation window contributes in … beta estimation window rather than the average leverage during this window. Using the point-in-time beta to compute …
Persistent link: https://www.econbiz.de/10013049758
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CAPM-anomalies : quantitative puzzles
Elmiger, Sabine - In: Economic theory : official journal of the Society for … 68 (2019) 3, pp. 643-667
Persistent link: https://www.econbiz.de/10012213098
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Does aggregate uncertainty explain size and value anomalies?
Aboura, Sofiane; Arisoy, Yakup Eser - In: Applied economics 49 (2017) 31/33, pp. 3214-3230
Persistent link: https://www.econbiz.de/10011774674
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Timing the size risk premia
Darolles, Serge; LeFol, Gaëlle; Mero, Gulten - In: Finance : revue de l'Association Française de Finance 43 (2022) 2, pp. 111-158
Persistent link: https://www.econbiz.de/10014253302
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Estimating exchange rate exposures : some "weighty" issues
Bodnar, Gordon M.; Wong, M. H. Franco - 2000
Persistent link: https://www.econbiz.de/10001448504