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Stock selection, style rotation, and risk

Lucas, André; Dijk, Ronald van; Kloek, Teunis - 2001

Persistent link: https://www.econbiz.de/10001554542

Forecasting stock returns using bilinearities in fundamentals and macroeconomic variables

Dijk, Ronald van; Kloek, Teunis; Lucas, André - 1996

Persistent link: https://www.econbiz.de/10000966934

Stock selection, style rotation, and risk

Lucas, André; Dijk, Ronald van; Kloek, Teunis - In: Journal of empirical finance 9 (2002) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10001655776

The global determinants of direct office real estate returns

Wit, Ivo de; Dijk, Ronald van - In: The journal of real estate finance and economics 26 (2003) 1, pp. 27-45

Persistent link: https://www.econbiz.de/10001763216

Stock Selection, Style Rotation, and Risk

Lucas, André; van Dijk, Ronald; Kloek, Teun - 2001

Using US data from June 1984 to July 1999, we show that the impact of firm-specificcharacteristics like size and book-to-price on future excess stock returns varies considerably overtime. The impact can be either positive or negative at different times. This time variation ispartially...

Persistent link: https://www.econbiz.de/10010324923