Ontonix Complexity & Cross Sectional Returns Academic Research
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Author Mr Di Chen : Ecole Polytechnique Féderale de Lausanne: Financial Engineering Section ...
Author Mr Di Chen : Ecole Polytechnique Féderale de Lausanne: Financial Engineering Section
This paper shows that complexity influences stock returns. By establishing the complexity and resilience measure of the common stock and analyzing the relationship between return, momentum, size, complexity, book-to-market ratio and resilience, three measures (size, complexity and momentum) stand out as the factors that can influence stock returns.
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