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Tekijä: | Hanna, J.D. Ready, M.J. |
Otsikko: | Profitable predictability in the cross section of stock returns |
Lehti: | Journal of Financial Economics
2005 : DEC, VOL. 78:3, p. 463-505 |
Asiasana: | stock returns trading transaction costs |
Kieli: | eng |
Tiivistelmä: | In this article the authors find that the Haugen and Baker (1996) long-short stock selection strategies do not provide attractive returns after transaction costs if an investor already has access to strategy portfolios based on book-to-market and momentum. |
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