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Keywords: Risk factors
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Journal Articles
RAUSP Management Journal (2018) 53 (3): 324–344.
Published: 27 June 2018
... the explanatory power of risk-factor approach variables such as beta, size, B/M ratio, momentum and liquidity. Findings The results show that future expectations of the B/M ratio and ROE, when combined with proxies for risk factors, were able to explain part of the variations of Brazilian stock returns...

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