The real-time predictability of the size and value premium in Japan

Pacific Basin Finance Journal

Volumn 12, Issue 5, 2004, Pages 503-523

  Bauer, Rob ^a,b   Derwall, Jeroen ^c   Molenaar, Roderick ^b  

^a MAASTRICHT UNIVERSITY   (Netherlands)

^b ABP Investments ^*  (Netherlands)

^c ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Model selection; Recursive modeling; Size (value) premium; Style rotation

Indexed keywords

EID: 4644261837     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2003.10.003     Document Type: Article

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