Browsing Department of Economics by Author "Brown, Warren"
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Cyclicality of size, value and momentum on the Johannesburg stock exchange
Kapche Fotso, Herve Moise (University of the Western Cape, 2019)Over the past four decades, size, value and momentum effects have been uncovered on stock markets, and several multifactor asset pricing models have been proposed to explain them. The associated premiums have been found ...