Style Effects in the Cross-Section of Stock Returns
Using CRSP stock and mutual fund data, we find strong evidence for reversals at the style level (e.g., large value, small growth, etc.). There are significant excess and risk-adjusted returns for stocks in styles characterized by the worst past returns and net inflows. We also find evidence for mome...
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2004
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| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/2359 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3358/viewcontent/StyleEffectsCrossSectionStockReturns_pp.pdf |
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