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Factor portfolios with value, size, momentum, profitability, and low volatility stocks have historically exhibited high returns after adjusting for market risk. As the weights of these portfolios increase in the stochastic discount factor, the excess returns of these factor strategies should...
As any well-versed investor should know, there are many ways in which beta can be calculated based on factors such as the choice of time interval and market proxy used in the estimation process. Of course, this can lead to wide variation in beta estimates reported through publication sources. In...
Drawing from the insights of the clean surplus accounting model for stock prices, we show that combining stocks with high profitability and low-BM ratios results in a “good growth” portfolio that outperforms classical growth stocks in multiple dimensions. The proposed portfolio offers...
Previous studies (Axelson et al. in J Finance 68(6):2223–2267, 2013; Gorbenko and Malenko in J Finance 69(6):2513–2555, 2014) find that transaction prices and maximum-willingness-to-pay for targets are negatively correlated with credit market conditions. We extend the literature along two...
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