| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 958795 | Journal of Empirical Finance | 2013 | 17 Pages |
Abstract
⺠We provide a cleaner and comprehensive test of three asset-pricing models. ⺠Different measures of the value-growth effect contain similar information. ⺠Momentum is a pervasive factor to explain stock returns for a variety of assets. ⺠Both value and momentum effects are in part driven by macroeconomic shocks.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ding Du,