Mispricing Factors-Reference-Cited by-同舟云学术

Mispricing Factors

Published:2016-12-31 Issue:4 Volume:30 Page:1270-1315
ISSN:0893-9454
Container-title:The Review of Financial Studies
language:en
Short-container-title:

Author:

Stambaugh Robert F.¹,Yuan Yu²

Affiliation:

1. The Wharton School, University of Pennsylvania and NBER

2. Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University and Wharton Financial Institutions Center

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

http://academic.oup.com/rfs/article-pdf/30/4/1270/24433865/hhw107.pdf

Reference71 articles.

1. Basis assets,;Ahn,;Review of Financial Studies,2009

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

3. The effects of beta, bid-ask spread, residual risk, and size on stock returns,;Amihud,;Journal of Finance,1989

4. The cross-section of volatility and expected returns,;Ang,;Journal of Finance,2006

5. Size matters, if you control your junk, Working paper, AQR Capital Management, University of Chicago, and Copenhagen School of Business;Asness,,2015

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