Chung, Yi-Tsai; Liao, Tung Liang; Chiang, Yi-Chein - In: Managerial Finance 41 (2015) 6, pp. 563-581
Purpose – The relative performance of five popular nonzero-investment strategies, including Size, book-to-market ratios, earnings-to-price (E/P) ratios, cash flow-to-price (CF/P) ratios and dividend-to-price ratios, and their corresponding zero-investment strategies (also known as premiums)...