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Keywords: Factor models
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Journal Articles
Journal of Economic and Administrative Sciences (2013) 29 (1): 42–62.
Published: 10 May 2013
... and constructs average portfolio returns between July 1951 and June 2008. It investigates the interdependence of stock returns for cash‐flows and earnings momentum portfolios using their systematic components. The methodology is implemented by extending various characteristic‐based factor models of returns...
