Stock selection, style rotation, and risk

Journal of Empirical Finance

Volumn 9, Issue 1, 2002, Pages 1-34

  Lucas, André ^a   Van Dijk, Ronald ^c   Kloek, Teun ^b,d  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

^b TINBERGEN INSTITUTE   (Netherlands)

^c ING Investment Management   (Netherlands)

^d ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Business cycles; Investment style; Risk compensation; Time varying parameters

Indexed keywords

EID: 0036141121     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(01)00043-3     Document Type: Article

References (26)

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8. The cross-section of expected stock returns
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17. Data-snooping biases in tests of financial asset pricing models
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20. Predictability of stock returns: Robustness and economic significance
21. A shortcut to LAD estimator asymptotics
22. A mean/variance analysis of tracking error
23. Stock returns and real activity: A century of evidence