Size and Value Anomalies in European Bank Stocks
نویسندگان
چکیده
منابع مشابه
Size and Value Anomalies under Regime Shifts
This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking sizeand value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that introduce short-run market timing opportunities for investors. The magnitude of the premia on the size and ...
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ژورنال
عنوان ژورنال: International Journal of Business and Management
سال: 2018
ISSN: 1833-8119,1833-3850
DOI: 10.5539/ijbm.v13n12p227