Alternative factor specifications, security characteristics, and the cross-section of expected stock returns
- 1 September 1998
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 49 (3), 345-373
- https://doi.org/10.1016/s0304-405x(98)00028-2
Abstract
No abstract availableKeywords
This publication has 48 references indexed in Scilit:
- The Alpha Factor Asset Pricing Model: A ParableSSRN Electronic Journal, 1998
- Market microstructure and asset pricing: On the compensation for illiquidity in stock returnsJournal of Financial Economics, 1996
- Investment analysis and price formation in securities marketsJournal of Financial Economics, 1995
- NYSE vs NASDAQ returns: Market microstructure or the poor performance of initial public offerings?Journal of Financial Economics, 1993
- Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 1993
- On the Estimation of Beta-Pricing ModelsThe Review of Financial Studies, 1992
- Market microstructure and asset pricing: An empirical investigation of NYSE and NASDAQ securitiesJournal of Financial Economics, 1990
- Estimating the components of the bid/ask spreadJournal of Financial Economics, 1988
- On the exclusion of assets from tests of the two-parameter model: A sensitivity analysisJournal of Financial Economics, 1982
- Dividends and taxesJournal of Financial Economics, 1978