Lucas, André; Dijk, Ronald van; Kloek, Teunis - 2001 - This version: February 12, 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...
