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The value spread as a predictor of returns

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The value spread : a puzzle

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A supply approach to valuation

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Belo, Frederico; Xue, Chen; Zhang, Lu - 2010

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Is the value spread a useful predictor of returns?

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Expected returns, yield spreads, and asset pricing tests

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Is the value spread a useful predictor of returns?

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Aggregation, capital heterogeneity, and the investment CAPM

Gonçalves, Andrei S.; Xue, Chen; Zhang, Lu - 2019

A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio level to match with portfolio-level stock returns....

Persistent link: https://www.econbiz.de/10011968853