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UK evidence on the characteristics versus covariance debate
Edward Lee, Weimin Liu, Norman Strong
Research output
:
Journal Publication
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Article
›
peer-review
10
Citations (Scopus)
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Keyphrases
Characteristic Risk
50%
Covariance
100%
Covariance Risk
50%
Fama-French Five-factor Model
100%
Higher Returns
50%
Japan
50%
Reporting Results
50%
Return Covariance
50%
Return Premium
50%
Size Premium
50%
Small Stock
50%
Value Premium
50%
Value Stocks
50%
Psychology
Three-Factor Model
100%
Economics, Econometrics and Finance
Factor Model
100%