Too Small or too Low? New Evidence on the 4-Factor Model
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Keywords
the Fama-French factors; size effect; value premium; GMM; momentum anomaly;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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