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Momentum in Australian style portfolios : risk or inefficiency?

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Tangibility and Investment Irreversibility in Asset Pricing

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Zhang (2005) and Cooper (2006) provide a theoretical risk-based explanation for the value premium by suggesting a nexus between firms' book-to-market ratio and investment irreversibility. They argue that unproductive physical capacity is costly in contracting conditions, but provides growth...

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The financial performance of socially responsible investments : insights from the intertemporal CAPM

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Extra-market sensitivity to a gold price factor : evidence from national market portfolios

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