Is the value spread a useful predictor of returns?
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Citations
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Cited by:
- Mansanet-Bataller, Maria & Chevallier, Julien & Hervé-Mignucci, Morgan & Alberola, Emilie, 2011.
"EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread,"
Energy Policy,
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- Emilie Alberola & Maria Mansanet-Bataller & Julien Chevallier & Morgan Hervé-Mignucci, 2011. "EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread," Post-Print hal-00575614, HAL.
- Maio, Paulo, 2013. "Return decomposition and the Intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4958-4972.
- Maria Mansanet-Bataller & Julien Chevallier & Morgan Hervé-Mignucci & Emilie Alberola, 2010. "The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market," Post-Print halshs-00458991, HAL.
- Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
- Nitschka, Thomas, 2010.
"Cashflow news, the value premium and an asset pricing view on European stock market integration,"
Journal of International Money and Finance,
Elsevier, vol. 29(7), pages 1406-1423, November.
- Thomas Nitschka, 2007. "Cashflow news, the value premium and an asset pricing view on European stock market integration," IEW - Working Papers 339, Institute for Empirical Research in Economics - University of Zurich.
- Nitschka, Thomas, 2006. "Does sensitivity to cashflow news explain the value premium on European stock markets?," Technical Reports 2006,12, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Rytchkov, Oleg, 2010. "Expected returns on value, growth, and HML," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 552-565, September.
- John M. Geppert & Stoyu I. Ivanov & Gordon V. Karels, 2011. "An examination of the information content of S&P 500 index changes: Analysis of systematic risk," Review of Accounting and Finance, Emerald Group Publishing, vol. 10(4), pages 411-426, November.
- repec:dau:papers:123456789/5109 is not listed on IDEAS
- David R Gallagher & Peter A Gardner & Camille H Schmidt, 2015. "Style factor timing: An application to the portfolio holdings of US fund managers," Australian Journal of Management, Australian School of Business, vol. 40(2), pages 318-350, May.
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