Anomaly or possible risk factor ? Some Simple Tests

HOLCBLAT, Benjamin; Lioui Abraham; Weber, Michael

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Anomaly or possible risk factor ? Some Simple Tests

HOLCBLAT, Benjamin; Lioui Abraham; Weber, Michael

2023 • 15th Annual SoFiE (Society for Financial Econometrics)

Peer reviewed

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Keywords :

Cross-section of Returns, Factor Pricing, Strong SSD, Abnormal returns, Market frictions

Disciplines :

Finance

Author, co-author :

HOLCBLAT, Benjamin ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Finance (DF)

Lioui Abraham; EDHEC Business School > Department of Finance

Weber, Michael; University of Chicago, Booth School of Business > Department of Finance

External co-authors :

yes

Language :

English

Title :

Anomaly or possible risk factor ? Some Simple Tests

Publication date :

17 June 2023

Event name :

15th Annual SoFiE (Society for Financial Econometrics)

Event organizer :

Sungkyunkwan University

Event place :

Seoul, South Korea

Event date :

17.06.2023

By request :

Yes

Audience :

International

Peer reviewed :

Peer reviewed

Available on ORBilu :

since 22 December 2023

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