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Applied Economics Volume 49, 2017 - Issue 32
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Original Articles

Does aggregate uncertainty explain size and value anomalies?

Sofiane AbouraUniversité de Paris XIII, Sorbonne Paris Cité, CEPN (UMR-CNRS 7234), Villetaneuse, France
&
Y. Eser ArisoyUniversité Paris-Dauphine, PSL Research University, CNRS, DRM Finance, Paris, FranceCorrespondence[email protected]
Pages 3214-3230 | Published online: 25 Nov 2016

Citations (8)

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Read on this site (1)

Adian McFarlane, Anupam Das & Young Cheol Jung. (2022) The asymmetric relationship between volatility index and volatility-of-volatility index. Investment Analysts Journal 51:2, pages 127-142.
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Articles from other publishers (7)

Stefan Albers & Paul Felix Reiter. (2024) What Drives the Ambiguity about Stock Market Volatility in Europe? Insights from the V-VSTOXX. SSRN Electronic Journal.
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Jessica Paule-Vianez, Carmen Orden-Cruz, Camilo Prado-Román & Raúl Gómez-Martínez. (2023) The impact of economic policy uncertainty on stock types while considering the economic cycle. A quantile regression approach. European Journal of Management and Business Economics.
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Stefan Albers. (2023) The fear of fear in the US stock market: Changing characteristics of the VVIX. Finance Research Letters 55, pages 103926.
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Serge Darolles, Gaëlle Le Fol & Gulten Mero. (2022) Timing the Size Risk Premia. Finance Vol. 43:2, pages 111-158.
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Serge Darolles, Gaëlle Le Fol & Gulten Mero. (2022) Timing the Size Risk Premia. Finance Vol. 43:2, pages 111-158.
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Adam Zaremba, Nusret Cakici, Ender Demir & Huaigang Long. (2022) When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns. Journal of Financial Stability 58, pages 100964.
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Timothy A. Krause. (2018) Risk and Uncertainty in Style Rotation. SSRN Electronic Journal.
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