Semiparametric estimation of a characteristic-based factor model of common stock returns
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference29 articles.
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2. The investment performance of common stocks in relation to their price to earnings ratio: a test of the efficient markets hypothesis;Basu;Journal of Finance,1977
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4. The number of factors in security returns;Brown;Journal of Finance,1989
5. Risk and return in an equilibrium APT: application of a new test methodology;Connor;Journal of Financial Economics,1988
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