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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/72703


    Title: On the Cross-section of Expected Stock Returns: Fama-French Ten Years Later
    Authors: 周冠男
    Chou, Pin-Huang;Chou, Robin K.;Wang, Jane-Sue
    Contributors: 財管系
    Keywords: Fama and French;Size;Book to Market;Cross-sectional Stock Returns;Least Trimmed Squares
    Date: 2004-03
    Issue Date: 2015-01-08 17:57:28 (UTC+8)
    Abstract: We examine the explanatory power of size and book-to-market (BM) in the cross-section of stock returns over various sample periods, especially for the period after the papers that highlight the size and BM effects are published. The empirical results indicate that overall the predictive ability of size and BM diminishes for the periods 1982-2001 and 1990-2001, respectively. Further investigation, however, reveals that size effect remains significant in January, and BM remains significant in non-January months even after the 1980s.
    Relation: Finance Letters, 2(1), 18-22.
    Data Type: article
    Appears in Collections:[Department of Finance] Periodical Articles

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