Identifying the relative importance of stock characteristics
(2016)
Journal Article
French, D., Wu, Y., & Li, Y. (2016). Identifying the relative importance of stock characteristics. Journal of Multinational Financial Management, 34, 80-91. https://doi.org/10.1016/j.mulfin.2016.01.002
There is no consensus in the literature as to which stock characteristic best explains returns. In this study, we employ a novel econometric approach better suited than the traditional characteristic sorting method to answer this question for the UK... Read More about Identifying the relative importance of stock characteristics.