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Keywords: State variables
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Journal Articles
Structural innovation in state variables and expected stock returns
Available to Purchase
Journal:
Managerial Finance
Managerial Finance (2022) 48 (2): 289–312.
Published: 19 November 2021
... and accruals. This study also aims to examine the mispricing attributes of the size, value and accrual effects by investigating the relative economic relevance of aggregate risk factors, which are related to exogenous shocks in state variables, in the cross-sectional returns of triple-sorted portfolios...
