haku: @author Dijk, R. van / yhteensä: 4
viite: 4 / 4
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| Tekijä: | Lucas, A. Dijk, R. van Kloek, T. |
| Otsikko: | Stock selection, style rotation, and risk |
| Lehti: | Journal of Empirical Finance
2002 : JAN, VOL. 9:1, p. 1-34 |
| Asiasana: | Investment analysis Risk management Business cycles |
| Kieli: | eng |
| Tiivistelmä: | Using US data from 1984-1999 the authors show that the impact of firm-specific characteristics like size and book-to-price n future excess stock returns varies considerably over time. Using alternative ways to correct for risk, the authors find significant and robust excess returns to style rotating investment strategies. |
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