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Pág. 29 - 45
Ali et al. (2003) argue that the Book-to-Market (B/M) anomaly is explained by mispricing. Using firm-level data from 1976 through 1997, we replicate their results and then test the idea that the anomaly is also explained as reflecting compensation ...
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Márcio André Veras Machado,Otávio Ribeiro de Medeiros
Pág. 383 - 412
This paper is aims to analyze whether a liquidity premium exists in the Brazilian stock market. As a second goal, we include liquidity as an extra risk factor in asset pricing models and test whether this factor is priced and whether stock returns were e...
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Frederico Valle e Flister,Aureliano Angel Bressan,Hudson Fernandes Amaral
Pág. 105 - 129
This work investigates the ability of the conditional CAPM to explain anomalous returns related to momentum, size and book-to-market effects using Lewellen and Nagel?s (2006) methodology in the Brazilian stock market. To this end we studied a sample of B...
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