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Characteristics, Covariances, and Average Returns: 1929 to 1997. (). French, Kenneth ; Fama, Eugene ; Davis, James L..
In: CRSP working papers.
RePEc:wop:chispw:359.

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  1. Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns. (2016). Nielsen, Caren Yinxia ; Nielsen, Caren Yinxia Guo, .
    In: Working Papers.
    RePEc:hhs:lunewp:2011_038.

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  2. A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model. (2012). Tauscher, Kathrin ; Wallmeier, Martin .
    In: FSES Working Papers.
    RePEc:fri:fribow:fribow00433.

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  3. Covariances versus Characteristics in General Equilibrium. (2011). Zhang, Lu ; Lin, Xiaoji.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17285.

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  4. Behavioral theories and the pricing of IPOs’ discretionary current accruals. (2011). Li, XU.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:37:y:2011:i:1:p:87-104.

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  5. The smallest stocks are not just smaller: US and international evidence. (2011). De Moor, Lieven ; Sercu, Piet.
    In: Working Papers.
    RePEc:hub:wpecon:201128.

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  6. Size and Value Premium in International Portfolios: Evidence from 15 European Countries. (2011). Mirza, Nawazish ; Afzal, Ayesha.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:61:y:2011:i:2:p:173-190.

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  7. Frequent issuers influence on long-run post-issuance returns. (2011). Flannery, Mark ; Garfinkel, Jon A. ; Billett, Matthew T..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:2:p:349-364.

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  8. Is size dead? A review of the size effect in equity returns. (2011). van Dijk, Mathijs.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:12:p:3263-3274.

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  9. Are momentum profits driven by the cross-sectional dispersion in expected stock returns?. (2011). Bhootra, Ajay .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:14:y:2011:i:3:p:494-513.

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  10. Covariances versus Characteristics in General Equilibrium. (2011). Zhang, Lu ; Lin, Xiaoji.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2011-15.

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  11. Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics. (2011). Hilscher, Jens ; Bandarchuk, Pavel .
    In: Working Papers.
    RePEc:brd:wpaper:38.

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  12. On the reversal of return and dividend growth predictability: A tale of two periods. (2009). Chen, Long.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:92:y:2009:i:1:p:128-151.

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  13. In Search of Distress Risk. (2008). Hilscher, Jens ; Campbell, John ; Szilagyi, Jan .
    In: Scholarly Articles.
    RePEc:hrv:faseco:3199070.

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  14. Does firm value move too much to be justified by subsequent changes in cash flow. (2008). Yogo, Motohiro ; Larrain, Borja.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:87:y:2008:i:1:p:200-226.

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  15. Overreaction to stock market news and misevaluation of stock prices by unsophisticated investors: Evidence from the option market. (2008). Poteshman, Allen M. ; Mahani, Reza S..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:4:p:635-655.

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  16. Characteristics, covariances, and structural breaks. (2008). Ko, Kuan-Cheng ; Chou, Pin-Huang.
    In: Economics Letters.
    RePEc:eee:ecolet:v:100:y:2008:i:1:p:31-34.

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  17. Does the stock market underreact to going concern opinions? Evidence from the U.S. and Australia. (2007). Subramanyam, K. R. ; Ogneva, Maria .
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:43:y:2007:i:2-3:p:439-452.

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  18. Cross-sectional forecasts of the equity premium. (2006). Polk, Christopher ; Vuolteenaho, Tuomo ; Thompson, Samuel.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:81:y:2006:i:1:p:101-141.

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  19. Asset Pricing Simultaneities: Phases and Patterns. (2006). Coleman, Robert D..
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2006:v:7:i:1:p:49-76.

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  20. Profitable predictability in the cross section of stock returns. (2005). Ready, Mark ; Hanna, Douglas J..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:78:y:2005:i:3:p:463-505.

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  21. Is value riskier than growth?. (2005). Zhang, Lu ; Petkova, Ralitsa .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:78:y:2005:i:1:p:187-202.

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  22. The cross-section of expected corporate bond returns: Betas or characteristics?. (2005). Swaminathan, Bhaskaran ; Gebhardt, William R. ; Hvidkjaer, Soeren .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:75:y:2005:i:1:p:85-114.

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  23. Mandated Disclosure, Stock Returns, and the 1964 Securities Acts Amendments. (2005). Oyer, Paul ; Greenstone, Michael ; Vissing-Jorgensen, Annette.
    In: Research Papers.
    RePEc:ecl:stabus:1869r.

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  24. Bad Beta, Good Beta. (2004). Campbell, John ; Vuolteenaho, Tuomo .
    In: Scholarly Articles.
    RePEc:hrv:faseco:3122489.

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  25. Value versus growth stocks in Singapore. (2004). Yen, Jenn Yaw ; Yan, Yuxing ; Sun, Qian.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:14:y:2004:i:1:p:19-34.

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  26. Behavioral finance: How matters stand. (2004). van der Sar, Nico L..
    In: Journal of Economic Psychology.
    RePEc:eee:joepsy:v:25:y:2004:i:3:p:425-444.

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  27. Evidence to support the four-factor pricing model from the Canadian stock market. (2004). L'Her, Jean-Francois ; Masmoudi, Tarek ; Suret, Jean-Marc.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:14:y:2004:i:4:p:313-328.

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  28. Do countries or industries explain momentum in Europe?. (2004). Verbeek, Marno ; Swinkels, Laurens ; Nijman, Theo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:11:y:2004:i:4:p:461-481.

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  29. Underpricing and long-term performance of IPOs in China. (2004). Wang, Junbo ; Wei, K. C. John, ; Chan, Kalok.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:10:y:2004:i:3:p:409-430.

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  30. Measuring and modeling systematic risk in factor pricing models using high-frequency data. (2003). Bollerslev, Tim ; Zhang, Benjamin Y. B., .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:10:y:2003:i:5:p:533-558.

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  31. Short-sale constraints and stock returns. (2002). Lamont, Owen ; Jones Charles M., ; Lamont Owen A., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:66:y:2002:i:2-3:p:207-239.

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  32. Mutual fund performance and seemingly unrelated assets. (2002). Stambaugh, Robert ; Pastor, Lubos ; Lubos, Pastor.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:63:y:2002:i:3:p:315-349.

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