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A Reexamination of Firm Size, Book-to-Market, and Earnings Price in the Cross-Section of Expected Stock Returns

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  • Kim, Dongcheol

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 32 (1997)
Issue (Month): 04 (December)
Pages: 463-489

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Handle: RePEc:cup:jfinqa:v:32:y:1997:i:04:p:463-489_00

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Cited by:
  1. Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, vol. 3(1), pages 1-30, March.
  2. Lajili, Souad, 2006. "Les modèles d'évaluation des actifs financiers et les co-moments d'ordre trois et quatre," Economics Papers from University Paris Dauphine 123456789/2256, Paris Dauphine University.
  3. Lajili, Souad, 2002. "The capital asset pricing model and the three factor model of Fama and French revisited in the case of France," Economics Papers from University Paris Dauphine 123456789/9237, Paris Dauphine University.
  4. Lajili, Souad, 2004. "Les modèles d'évaluation des actifs financiers et les co-moments d'ordre trois et quatre," Economics Papers from University Paris Dauphine 123456789/3013, Paris Dauphine University.
  5. António Miguel Martins & Ana Paula Serra, 2012. "Real Estate Market Risk in Bank Stock Returns: Evidence for 15 European Countries," CEF.UP Working Papers 1203, Universidade do Porto, Faculdade de Economia do Porto.
  6. Kaplanski, Guy, 2004. "Traditional beta, downside risk beta and market risk premiums," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(5), pages 636-653, December.
  7. Lajili, Souad, 2007. "Explaining the Cross-Section of Stock Returns in France : Characteristics or Risk Factors?," Economics Papers from University Paris Dauphine 123456789/4169, Paris Dauphine University.
  8. Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo, 2012. "Evaluating asset pricing models in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 198-227.
  9. Lau, Sie Ting & Lee, Chee Tong & McInish, Thomas H., 2002. "Stock returns and beta, firms size, E/P, CF/P, book-to-market, and sales growth: evidence from Singapore and Malaysia," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 207-222, July.
  10. Chi-Hsiou Hung, 2007. "Return Explanatory Ability and Predictability of Non-Linear Market Models," Working Papers 2007_05, Durham University Business School.
  11. Grauer, Robert R. & Janmaat, Johannus A., 2004. "The unintended consequences of grouping in tests of asset pricing models," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2889-2914, December.
  12. Lajili, Souad, 2005. "Size and book to market effects vs co-skweness and co-kurtosis in explaining stock returns," Economics Papers from University Paris Dauphine 123456789/2167, Paris Dauphine University.
  13. Jiang, Xiaoquan & Lee, Bong-Soo, 2007. "Stock returns, dividend yield, and book-to-market ratio," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 455-475, February.

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