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The Liquidity style factor in the new and enhanced Barra Europe Equity Model (EUE3) helps to assess the systematic risk …
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We study the effect of growth in firms’ balance sheets on stock returns by decomposing asset growth into two components, one that captures real investment growth and one that captures accounting distortions and/or reduced efficiency. We show that these components play significant and...
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We analyze short-term reversal and medium-term momentum patterns in weekly stock returns in Europe. Focusing on raw and …
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