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On the Consistency between the Fama-French Daily and Monthly Factors

https://doi.org/10.2139/ssrn.1108636
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Outgoing claims: the papers this work cites, builds on, or argues with.

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On computing mean returns and the small firm premium
inferredcites →https://doi.org/10.1016/0304-405x(83)90056-9openalex-extracted
Biases in computed returns
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-extracted
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1093/rfs/hhi007openalex-extracted
Short-Term Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/0022-1082.165353openalex-extracted
Caveat Compounder: A Warning about Using the Daily CRSP Equal‐Weighted Index to Compute Long‐Run Excess Returns
inferredcites →https://doi.org/10.1111/j.1475-6803.1992.tb00792.xopenalex-extracted
EMPIRICAL EVIDENCE ON THE IMPACT OF THE BID‐ASK SPREAD ON THE CHARACTERISTICS OF CRSP DAILY RETURNS
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-extracted
The Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb05166.xopenalex-extracted
The New Issues Puzzle
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02742.xopenalex-extracted
Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-extracted
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.01005.xopenalex-extracted
Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model
inferredcites →https://doi.org/10.1016/s0304-405x(00)00056-8openalex-snapshot
Can book-to-market, size and momentum be risk factors that predict economic growth?
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.01015.xopenalex-snapshot
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01320.xopenalex-snapshot
The Long‐Lasting Momentum in Weekly Returns
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