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What is Multifactor Explanations about?

The document explores asset pricing anomalies and whether they can be explained by a three-factor model. It finds that the three-factor model using market excess returns, SMB, and HML can explain many anomalies related to firm size, book-to-market ratios, earnings yields and other factors. However, it cannot explain the short-term continuation of stock returns.

Author

09877leo

Language

EN