Xiaojing Song

affiliation not provided to SSRN

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Constructing Asset Pricing Models with Specific Factor Loadings

Abacus, Vol. 48, Issue 2, pp. 199-213, 2012
Number of pages: 15 Posted: 03 Jun 2012
Ian Davidson, Qian Guo, Xiaojing Song and Mark J. Tippett
University of Sussex, London School of Economics & Political Science (LSE), affiliation not provided to SSRN and Loughborough University - Business School
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Abstract:

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Accruals quality, Average return, Beta, Capital asset pricing model, Inefficient portfolio, Market‐to‐book ratio, Size