search query: @indexterm CAPITAL ASSET PRICING / total: 356
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| Author: | Moskowitz, T. J. |
| Title: | An analysis of covariance risk and pricing anomalies |
| Journal: | Review of Financial Studies
2003 : SUMMER, VOL. 16:2, p. 417-457 |
| Index terms: | Capital asset pricing Return on investment Risk management |
| Language: | eng |
| Abstract: | The author examines the link between several well-known asset pricing "anomalies" and the covariance structure of returns. He finds size, book-to-market, and momentum strategies exhibit a strong, weak, and negligible relation to coveriance risk, respectively. |
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