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The impact of time-varying idiosyncratic risk and trading costs on momentum and value strategies

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Table 3.6. Average coefficient estimates of conditional market and Fama and French models with a GJR-GARCH (1, I)-M term across nine strategies
Table 3.8. Average coefficient estimates of conditional market and Fama and French models with a GARCH (1,1)-M term across ranking and holding periods
Table 4.1. Summary statistics for monthly returns on US value, growth and HML portfolios
Table 4.2. Estimates of the static CAPM for US value, growth and HNIL portfolios
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