Can a dynamic correlation factor improve the pricing of industry portfolios?
Year of publication: |
2023
|
---|---|
Authors: | Božović, Miloš |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 53.2023, p. 1-13
|
Subject: | Asset pricing | Dynamic correlations | Excess returns | Factor models | Industry portfolios | Portfolio-Management | Portfolio selection | Korrelation | Correlation | CAPM | Schätzung | Estimation | Kapitaleinkommen | Capital income | Theorie | Theory | Börsenkurs | Share price | Faktorenanalyse | Factor analysis |
-
A common pattern across asset pricing anomalies
Božović, Miloš, (2022)
-
Investigating the drivers of international comovement in real financial asset returns
McKinnon, Kate, (2019)
-
Unraveling the value premium : a reward for risk or mispricing?
Serur, Claudio E., (2019)
- More ...
-
Credit rating agencies and Moral hazard
Božović, Miloš, (2011)
-
Atanasijević, Jasna, (2016)
-
Uncovered interest-rate parity and risk premium : evidence from EUR/RSD exchange rate
Božović, Miloš, (2021)
- More ...