摘要 : We use securities listed on 13 European equity markets to form size and momentum portfolios. We find limited evidence of a size premium but significant momentum returns in eight sample markets. We find that these premia may not co... 展开
作者 | George Karathanasis Konstantinos Kassimatis Spyros Spyrou |
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作者单位 | |
期刊名称 | 《Accounting and finance》 |
页码/总页数 | 143-169 / 27 |
语种 | 英语 |
关键词 | asset pricing time-varying risk capital asset pricing model |
DOI | 10.1111/j.1467-629X.2009.00314.x |
馆藏号 | F-363 |