The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns-Reference-Cited by-同舟云学术

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The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns

Published:2017-03-27 Issue:12 Volume:30 Page:4389-4436
ISSN:0893-9454
Container-title:The Review of Financial Studies
language:en
Short-container-title:

Author:

Green Jeremiah¹,Hand John R. M.²,Zhang X. Frank³

Affiliation:

1. Pennsylvania State University

2. UNC-Chapel Hill

3. Yale University

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

http://academic.oup.com/rfs/article-pdf/30/12/4389/24433556/hhx019.pdf

Reference118 articles.

1. Abnormal returns to a fundamental analysis strategy;Abarbanell,;Accounting Review,1998

2. Missing observations in multivariate statistics: I. Review of the literature;Afifi,;Journal of the American Statistical Association,1966

3. Arbitrage risk and the book-to-market anomaly;Ali,;Journal of Financial Economics,2003

4. Financial constraints, asset intangibility, and corporate investment;Almeida,;Review of Financial Studies,2007

5. Illiquidity and stock returns: cross-section and time-series effects;Amihud,;Journal of Financial Markets,2002

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