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Robust measurement of beta risk
Chan, Louis K. C. - In: Journal of financial and quantitative analysis : JFQA 27 (1992) 2, pp. 265-282
Persistent link: https://www.econbiz.de/10001125358
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Are seasonal anomalies real? : a ninety-year perspective
Lakonishok, Josef - In: The review of financial studies 1 (1988) 4, pp. 403-425
Persistent link: https://www.econbiz.de/10001106331
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Good news for value stocks : further evidence on market efficiency
La Porta, Rafael; Lakonishok, Josef; Shleifer, Andrei; … - In: The journal of finance : the journal of the American … 52 (1997) 2, pp. 859-874
Persistent link: https://www.econbiz.de/10001222416
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Evaluating the performance of value versus glamour stocks : the impact of selection bias
Chan, Louis K. C. - In: Journal of financial economics 38 (1995) 3, pp. 269-296
Persistent link: https://www.econbiz.de/10001180869
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Market underreaction to open market share repurchases
Ikenberry, David - In: Journal of financial economics 39 (1995) 2, pp. 181-208
Persistent link: https://www.econbiz.de/10001188050
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The risk and return from factors
Chan, Louis K. C. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 2, pp. 159-188
Persistent link: https://www.econbiz.de/10001246910
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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...
Persistent link: https://www.econbiz.de/10011479824
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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...
Persistent link: https://www.econbiz.de/10011482859
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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
Persistent link: https://www.econbiz.de/10011536693
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The level and persistence of growth rates
Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef - In: The journal of finance : the journal of the American … 58 (2003) 2, pp. 643-684
Persistent link: https://www.econbiz.de/10001750585