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

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:
Depositing User: LivePure Connector
Date Deposited: 23 Jul 2018 16:30
Last Modified: 22 Apr 2020 08:51
URI: https://ueaeprints.uea.ac.uk/id/eprint/67819
DOI: 10.2469/dig.v48.n6.3

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