The devil in HML's details

Journal of Portfolio Management

Volumn 39, Issue 4, 2013, Pages 49-68

  Asness, Clifford ^a   Frazzini, Andrea ^a  

^a AQR Capital Management   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84888382263     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2013.39.4.049     Document Type: Article

References (7)

1. Asness, C. "Momentum in Japan." The Journal of Portfolio Management, 37 (2011), pp. 67-75.
2. Daniel, K. "Momentum Crashes." Working paper, Columbia University, 2011.
3. Fama, E., and K. French. "The Cross-Section of Expected Stock Returns." The Journal of Finance, 47 (1992), pp. 427-465.
4. Fama, E., and K. French. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, 33 (1993), pp. 3-56.
5. Fama, E., and K. French. "Multifactor Explanations of Asset Pricing Anomalies." The Journal of Finance, 51 (1996), pp. 55-84.
6. Fama, E., and J. MacBeth. "Risk, Return, and Equilibrium: Empirical Tests." Journal of Political Economy, 81 (1973), pp. 607-636.
7. Shumway, T. "The Delisting Bias in CRSP Data." The Journal of Finance, 52 (1997), pp. 327-340.