Forecasting the size premium over different time horizons
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DOI: 10.1016/j.jbankfin.2012.11.006
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More about this item
Keywords
Size effect; Size premium; Stock return predictability; Active alpha;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
Statistics
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