Growth Opportunities, Assets in Place, Stocks Migration and CAPM: A Rational Foundation for the Fama-French and Momentum Factors-Reference-Cited by-同舟云学术

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Growth Opportunities, Assets in Place, Stocks Migration and CAPM: A Rational Foundation for the Fama-French and Momentum Factors

Published:2012 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Faugère Christophe

Publisher

Elsevier BV

Reference29 articles.

1. Growth to Value: Option Exercise and the Cross-Section of Equity Returns

2. Noise, CAPM and the Size and Value Effects;Robert Arnott;Journal of Investment Management,2008

3. Aggregate Volatility and Market Jump Risk: An Explanation to Size and Value Premium;Yakup E Arizoy;Working Paper IESEG School of Management,2009

4. The Relationship between Return and Market Value of Common Stocks;Rolf W Banz;Journal of Financial Economics,1981

5. The Relationship between Earnings Yield, Market Value, and Return for NYSE Common Stocks: Further Evidence;Sanjoy Basu;Journal of Financial Economics,1983

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