Senarathne, Chamil W. - In: Journal of capital markets studies 3 (2019) 2, pp. 137-156
investors mimic the underlying risk factors in returns related to size and book-to-market value, size and operating … new risk factors explaining stock return variation may help improve the model performance. The performance can be improved … by adding new risk factors that are free from behavioral bias but significant in explaining common stock return variation …