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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/72703


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/72703


    题名: On the Cross-section of Expected Stock Returns: Fama-French Ten Years Later
    作者: 周冠男
    Chou, Pin-Huang;Chou, Robin K.;Wang, Jane-Sue
    贡献者: 財管系
    关键词: Fama and French;Size;Book to Market;Cross-sectional Stock Returns;Least Trimmed Squares
    日期: 2004-03
    上传时间: 2015-01-08 17:57:28 (UTC+8)
    摘要: 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.
    關聯: Finance Letters, 2(1), 18-22.
    数据类型: article
    显示于类别:[財務管理學系] 期刊論文

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