Does Risk Explain Anomalies? Evidence from Expected Return Estimates
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We construct accounting-based costs of equity for dollar neutral long-short trading strategies formed on a comprehensive list of anomaly variables. These variables include book-to-market, size, composite issuance, net stock issues, abnormal investment, asset growth, investment-to-assets, accruals,
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美国国家经济研究局创建时间：
2010-04-01
