Size, value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures

Author:

Cakici Nusret,Tan Sinan

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference50 articles.

1. Money, Liquidity, and Monetary Policy;Adrian;Am. Econ. Rev.,2009

2. Illiquidity and stock returns: cross-section and time-series effects;Amihud;J. Financ. Markets,2002

3. Asymmetric correlations of equity portfolios;Ang;J. Financ. Econ.,2002

4. The Devil in HML's Details;Asness;J. Portfolio Manage. Summer,2013

5. Value and momentum everywhere;Asness;J. Finance,2013

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