@misc{86284a16e7a647738a3d8eec555c6af1,
title = "The Characteristics That Provide Independent Information about Average U.S. Monthly Stock Returns (Digest Summary): J. Green, J. Hand, and X. Zhang, Review of Financial Studies, Vol. 30, No. 12, (December 2017): 4389-4436",
abstract = "The authors evaluate 94 uncorrelated characteristics of average U.S. monthly stock returns. Only 12 survive testing once the results are controlled for micro-capitalization stocks and data-snooping bias. Long-short equity strategies appear to benefit from the inclusion of all 94 variables.",
author = "Antony Jackson",
note = "CFA Digest Summary of 'The Characteristics That Provide Independent Information about Average U.S. Monthly Stock Returns'; J. Green, J. Hand, and X. Zhang, Review of Financial Studies, Vol. 30, No. 12 (December 2017): 4389-4436.",
year = "2018",
month = jun,
doi = "10.2469/dig.v48.n6.3",
language = "English",
volume = "48",
journal = "CFA Digest",
publisher = "CFA Institute",
}