Does the Investment Model Explain Value and Momentum Simultaneously?
收藏NBER2017-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w23910
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资源简介：
Two innovations in the structural investment model go a long way in explaining value and momentum jointly. Firm-level investment returns are constructed from firm-level accounting variables, and are then aggregated to the portfolio level to match with portfolio-level stock returns. In addition,
提供机构：
美国国家经济研究局
创建时间：
2017-10-01
