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- W3150885196 abstract "A model with factors for earnings, liquidity, their respective growth, and the market can offer a consumption rationale with low pricing error. It also subsumes one-year momentum and momentum net of reversal, the factor commonly known as ‘momentum.’ These earnings and liquidity factors are all significant and combine for a model without factor redundancy. Motivated by investors’ ability to establish positions, we construct portfolios based on volume, and reconcile liquidity into reduced form characteristics-based factor models that compliment firm-based factors." @default.
- W3150885196 created "2021-04-13" @default.
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- W3150885196 date "2021-05-01" @default.
- W3150885196 modified "2023-09-25" @default.
- W3150885196 title "Earnings and liquidity factors" @default.
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- W3150885196 doi "https://doi.org/10.1016/j.qref.2021.03.011" @default.
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