Positive Portfolio Factors
We use an iterative relocation algorithm to identify factors
|Date of creation:||01 Apr 1998|
|Date of revision:||01 Apr 2008|
|Contact details of provider:|| Web page: http://icf.som.yale.edu/|
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- Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993.
"Contrarian Investment, Extrapolation, and Risk,"
NBER Working Papers
4360, National Bureau of Economic Research, Inc.
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"Mutual fund styles,"
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- Grinblatt, Mark & Titman, Sheridan, 1983. "Factor pricing in a finite economy," Journal of Financial Economics, Elsevier, vol. 12(4), pages 497-507, December.
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- Elton, Edwin J, et al, 1993. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 1-22.
- Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
- Connor, Gregory & Korajczyk, Robert A., 1988. "Risk and return in an equilibrium APT : Application of a new test methodology," Journal of Financial Economics, Elsevier, vol. 21(2), pages 255-289, September.
- Shanken, Jay, 1992. "On the Estimation of Beta-Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 1-33.
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