Dissecting Anomalies. EUGENE KENNETH R. FRENCH. Eugene F. The asset growth and profitability anomalies are less robust. There is. By Eugene F. Fama and Kenneth French; Abstract: The anomalous returns associated with net stock issues, accruals, and momentum are. Eugene F. Fama & Kenneth R. French, “Dissecting Anomalies,” Journal of Finance, American Finance Association, vol. 63(4), pages , August.
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Dissecting Anomalies with a Five-Factor Model | The Review of Financial Studies | Oxford Academic
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Copyright c The American Finance Association. A five-factor model that adds profitability RMW and investment CMA factors to the three-factor model of Fama and French suggests a shared story for several average-return anomalies.
The anomalous returns associated with net stock issues, accruals, and momentum are pervasive; they show up in all size groups micro, small, and big in cross-section regressions, and they are also strong in sorts, at least in the extremes. frnch
This allows to link your profile to this item. General contact details of provider: Sign In or Create an Account. Abstract A five-factor model that adds profitability RMW and investment CMA factors to the three-factor model of Fama and French suggests a shared story for several average-return anomalies. Citing articles via Web of Science Consumption Taxes and Corporate Investment.
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