The characteristics book-to-market equity ratio, size and momentum are highly correlated with the average returns of common stocks. Fama and French (J Financ Econ 33(1):3-56, 1993), (J Finance 50(1):131-155, 1995) and (J Finance 51(1):55-84, 1996) argue (for size and the book-to-market equity...

We analyze the cross-section of more than 1200 cryptocurrencies derived from 350 exchanges in the time period from January 2014 to June 2020. Specifically, we investigate whether well-known cross-sectional characteristics like beta (Fama/MacBeth (1973)), size (Banz (1981)) or momentum (...

Purpose: The purpose of this paper is to analyze the implications of the risk versus characteristic debate from the perspective of a mean-variance investor. Design/methodology/approach: Expected returns and the variance-covariance matrix are estimated based on various characteristic and risk...

Purpose: This paper aims to hunt for the driving force behind the accrual anomaly and revisit the risk versus mispricing debate. Design/methodology/approach: In sorts of stock returns on abnormal and normal accruals, the authors find that abnormal accruals are the driving force behind the...