The Characteristics That Provide Independent Information about Average U.S. Monthly Stock Returns (Digest Summary):J. Green, J. Hand, and X. Zhang, Review of Financial Studies, Vol. 30, No. 12, (December 2017): 4389-4436

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Jackson, Antony (2018) The Characteristics That Provide Independent Information about Average U.S. Monthly Stock Returns (Digest Summary):J. Green, J. Hand, and X. Zhang, Review of Financial Studies, Vol. 30, No. 12, (December 2017): 4389-4436. In: UNSPECIFIED CFA Institute.

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Abstract

The authors evaluate 94 uncorrelated characteristics of average U.S. monthly stock returns. Only 12 survive testing once the results are controlled for micro-capitalization stocks and data-snooping bias. Long-short equity strategies appear to benefit from the inclusion of all 94 variables.

Item Type:	Book Section
Additional Information:	CFA Digest Summary of 'The Characteristics That Provide Independent Information about Average U.S. Monthly Stock Returns'; J. Green, J. Hand, and X. Zhang, Review of Financial Studies, Vol. 30, No. 12 (December 2017): 4389-4436.
Faculty \ School:	Faculty of Social Sciences > School of Economics
Related URLs:	https://www.cfainstitute.org/en/research...
Depositing User:	LivePure Connector
Date Deposited:	23 Jul 2018 16:30
Last Modified:	30 Sep 2021 17:49
URI:	https://ueaeprints.uea.ac.uk/id/eprint/67819
DOI:	10.2469/dig.v48.n6.3

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