Articles with "characteristic portfolios" as a keyword



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The Cross-Section of Risk and Returns

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Published in 2020 at "Review of Financial Studies"

DOI: 10.1093/rfs/hhaa021

Abstract: A common practice in the finance literature is to create characteristic portfolios by sorting on characteristics associated with average returns. We show that the resultant portfolios are likely to capture not only the priced risk… read more here.

Keywords: risk; section risk; finance; characteristic portfolios ... See more keywords