Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods
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DOI: 10.1016/j.intfin.2014.03.005
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- Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon, 2015. "Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis," Global Finance Journal, Elsevier, vol. 28(C), pages 24-37.
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More about this item
Keywords
Systematic co-moment; Size; Value; Momentum; Liquidity;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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