Keywords: Stock market anomalies
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Journal Articles

Revisiting Lettau and Ludvigson (2001): Does cay really matter for cross-sectional risk premia?

Paulo Maio, Byoung-Kyu Min
Journal: Critical Finance Review
Critical Finance Review (2026) 15 (2): 208–245.
https://doi.org/10.1108/CFR-07-2024-2532
Published: 21 May 2026
... 18 11 2025 06 01 2026 © 2026 Emerald Publishing Limited 2026 Emerald Publishing Limited Licensed re-use rights only Asset pricing Conditional asset pricing model Cay Cross-section of stock returns Stock market anomalies research fund of Hanyang University HY...
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Includes: Supplementary data
Journal Articles

Open Source Cross-Sectional Asset Pricing

Andrew Y. Chen, Tom Zimmermann
Journal: Critical Finance Review
Critical Finance Review (2022) 11 (2): 207–264.
https://doi.org/10.1561/104.00000112
Published: 03 May 2022
... of the Board of Governors of the Federal Reserve or the Federal Reserve System. © 2022 Andrew Y. Chen and Tom Zimmermann 2022 Andrew Y. Chen and Tom Zimmermann Licensed re-use rights only Stock market anomalies Replication Asset pricing G10 G12 *First posted to SSRN: May 18, 2020...
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Includes: Supplementary data
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