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Showing 1 to 1 of 1 for “"Risk Factor Timing"”.
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Equity Style Indices and Liquidity in Europe
… of European style indices is outlined from which risk factors like market excess return, size, valuation and momentum, but also novel idiosyncratic risk and systematic liquidity factors are derived. The daily 2002 to 2009 time period examined contains the recent financial crisis. As based on a …