Excess Returns in the Cross Section of US Equities: An Analysis of Calendar/Time-of-Day Effects and Industry Aggregation for Priced Factors, with an Extension to Arbitrage with Market Frictions-Reference-Cited by-同舟云学术

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Excess Returns in the Cross Section of US Equities: An Analysis of Calendar/Time-of-Day Effects and Industry Aggregation for Priced Factors, with an Extension to Arbitrage with Market Frictions

Published:2013 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Yang Hesu

Publisher

Elsevier BV

Reference41 articles.

1. The Devil in HML's Details

2. Leverage Aversion and Risk Parity;C S Asness;Financial Analysts Journal,2012

3. Value and Momentum Everywhere;C S Asness;AFA 2010 Atlanta Meetings Paper. Available at SSRN,2009

4. Predicting Stock Returns Using Industry-Relative Firm Characteristics

5. The Relationship Between Return and Market Value of Common Stocks;R W Banz;Journal of Financial Economics,1981

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Reducing Risk Rather than Trying to Beat the Market: A New Look at Optimal Portfolios under the Mean-Variance Model;SSRN Electronic Journal;2013

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