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21-062/III - Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies


  • Authors
    Terri van der Zwan, Erasmus University Rotterdam; Erik Hennink, Ortec Finance; Patrick Tuijp, Ortec Finance
  • Publication date
    July 4, 2021
  • Keywords
    Cross-Section of Stock Returns, Factors, Frequency Decomposition, Horizon Effects, Investment Horizon
  • JEL
    G12, C58, G11