Stambaugh and Yuan (2017) developed a four-factor model. They added two new factors to the market and

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Stambaugh and Yuan (2017) developed a four-factor model. They added two new factors to the market and size factors. How did they construct these new factors? In empirical tests of over 80 anomalies, what did they find? They also created a three-factor model. How did this model perform?

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