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Why do value stocks earn higher returns than growth stocks, and vice versa?
Oertmann, Peter, (2000)
Market time and asset price movements : theory and estimation
Ghysels, Eric, (1995)
Modelling share price behaviour across time
Thompson, Spencer, (1999)
Multivariate tests of zero beta CAPM
Shanken, Jay, (1985)
On the exclusion of assets from tests of the mean variance efficiency of the market portfolio : an extension
Shanken, Jay, (1986)
Statistical methods in tests of portfolio efficiency : a synthesis
Shanken, Jay, (1996)