Blar i BI Open på forfatter "Mitrache, Andreea"
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A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
Priestley, Richard; Cooper, Ilan; Mitrache, Andreea (Journal article; Peer reviewed, 2020)Value and momentum returns and combinations of them across both countries and asset classes are explained by their loadings on global macroeconomic risk factors. These loadings describe why value and momentum have positive ...