Profitable predictability in the cross section of stock returns

• 31 December 2005
• journal article
• Published by Elsevier in Journal of Financial Economics
• Vol. 78  (3) , 463-505
• https://doi.org/10.1016/j.jfineco.2004.12.004

Abstract

Keywords

• G12
• G14
• TRANSACTION COSTS
• MICROSTRUCTURE
• EXPECTED RETURN