Concepedia

On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications

Peter Schmidt, Urs von Arx, Andreas Schrimpf, Alexander F. Wagner, Andreas Ziegler

SSRN Electronic Journal · 2011 · 56 citations · 32 references

DOIFull text

Open access

Concepts

References

32

Common risk factors in the returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.7K citations

, , +12

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

, , +10

On Persistence in Mutual Fund Performance

Mark M. Carhart · The Journal of Finance · 1997 · 17K citations · Full text

, , +17

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

Narasimhan Jegadeesh, Sheridan Titman · The Journal of Finance · 1993 · 11.5K citations

, , +17

A five-factor asset pricing model

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 2014 · 7.8K citations

, , +12