Assessing the usefulness of daily and monthly asset‐pricing factors for Australian equities

Author:

Gray Philip1,Zhong Angel2ORCID

Affiliation:

1. Department of Banking and Finance Monash University Melbourne VICAustralia

2. School of Economics, Finance and Marketing RMIT University Melbourne VIC Australia

Funder

Accounting and Finance Association of Australia and New Zealand

Publisher

Wiley

Subject

Economics, Econometrics and Finance (miscellaneous),Finance,Accounting

Reference50 articles.

1. Illiquidity and stock returns: cross‐section and time‐series effects;Amihud Y.;Journal of Financial Markets,2002

2. High idiosyncratic volatility and low returns: international and further US evidence;Ang A.;Journal of Financial Economics,2009

3. Quality minus junk;Asness C.;Review of Accounting Studies,2019

4. Sorting out sorts;Berk J. B.;The Journal of Finance,2000

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