Stambaugh and Yuan (2017) developed a four-factor model. They added two new factors to the market and
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Stambaugh and Yuan (2017) developed a four-factor model. They added two new factors to the market and size factors. How did they construct these new factors? In empirical tests of over 80 anomalies, what did they find? They also created a three-factor model. How did this model perform?
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SOLUTION Stambaugh and Yuan 2017 introduced two new factors which they called the Profitability and Investment factors in addition to the existing mar...View the full answer
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Related Book For 
Investment Valuation And Asset Pricing Models And Methods
ISBN: 9783031167836
1st Edition
Authors: James W. Kolari, Seppo Pynnönen
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