Size and value anomalies under regime shifts

Journal of Financial Econometrics

Volumn 6, Issue 1, 2008, Pages 1-48

  Guidolin, Massimo ^a,b   Timmermann, Allan ^c,d  

^a FEDERAL RESERVE BANK OF ST LOUIS   (United States)

^b UNIVERSITY OF MANCHESTER   (United Kingdom)

^c UNIVERSITY OF CALIFORNIA   (United States)

^d CREATES ^*

Author keywords

Hedging demands; Optimal portfolio choice; Regimes; Size and value portfolios

Indexed keywords

EID: 37849053092     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbm021     Document Type: Article

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