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The Role of Beta and Size in the Cross-Section of European Stock Returns

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Author Info
Steven L. Heston
K. Geert Rouwenhorst
Roberto E. Wessels

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1468-036X.00077
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Article provided by Blackwell Publishing Ltd in its journal European Financial Management.

Volume (Year): 5 (1999)
Issue (Month): 1 ()
Pages: 9-27
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Handle: RePEc:bla:eufman:v:5:y:1999:i:1:p:9-27

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  1. Nijman, T.E. & Swinkels, L. & Verbeek, M.J.C.M., 2002. "Do Countries or Industries Explain Momentum in Europe?," Research Paper ERS-2002-91-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    Other versions:
  2. Marie-Paule Laurent, 2003. "Indices as diversification instruments in Europe," Working Papers CEB 03-004.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
  3. Asgharian, Hossein & Hansson, Björn, 2002. "Cross Sectional Analysis of the Swedish Stock Market," Working Papers 2002:19, Lund University, Department of Economics. [Downloadable!]
  4. Maroney, Neal C. & Protopapadakis, Aris A., 1999. "The book-to-market and size effects in a general asset pricing model: evidence from seven national markets," Working Papers 1999-15, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  5. Kent Daniel & Sheridan Titman & K.C. John Wei, 1999. "Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?," NBER Working Papers 7246, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Robert Faff, 2004. "A simple test of the Fama and French model using daily data: Australian evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 14(2), pages 83-92, January. [Downloadable!] (restricted)
  7. Mika Vaihekoski, 2000. "Unconditional international asset pricing models: empirical tests," Finnish Economic Papers, Finnish Economic Association, vol. 13(2), pages 71-88, Autumn. [Downloadable!]
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