Similar Search Results - EconBiz

Structural breaks and common factors in the volatiliy of the Fama-French factor portfolios

Morana, Claudio; Beltratti, Andrea - In: Applied financial economics 16 (2006) 14, pp. 1059-1073

Persistent link: https://www.econbiz.de/10003377864

A new anomaly : the cross-sectional profitability of technical analysis

Han, Yufeng; Yang, Ke; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 5, pp. 1433-1461

Persistent link: https://www.econbiz.de/10010343641

Idiosyncratic volatility and stock returns : a cross country analysis

Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281

Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential...

Persistent link: https://www.econbiz.de/10003886161

Momentum strategy and credit risk

Lu, Su-lien; Lee, Kuo-jung; Yu, Chia-chang - In: Applied financial economics 24 (2014) 10/12, pp. 753-762

Persistent link: https://www.econbiz.de/10010402585

Text-based industry momentum

Hoberg, Gerard; Phillips, Gordon M. - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2355-2388

Persistent link: https://www.econbiz.de/10012128029

Beta matrix and common factors in stock returns

Ahn, Seung Chan; Horenstein, Alex R.; Wang, Na - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 3, pp. 1417-1440

Persistent link: https://www.econbiz.de/10011930424

Stock return dynamics and stock market interdependencies

Tsouma, Ekaterini - In: Applied financial economics 17 (2007) 10/12, pp. 805-825

Persistent link: https://www.econbiz.de/10003537547

Interest rate and stock return volatility indices for the Eurozone : investors' gauges of fear during the recent financial crisis

López, Raquel; Navarro, E. - In: Applied financial economics 23 (2013) 16/18, pp. 1419-1432

Persistent link: https://www.econbiz.de/10010259391

Examining volatility spillover in Asian REIT markets

Lin, Pin-te - In: Applied financial economics 23 (2013) 22/24, pp. 1701-1705

Persistent link: https://www.econbiz.de/10010336274

Cross-border sentiment : an empirical analysis on EU stock markets

Bai, Ye - In: Applied financial economics 24 (2014) 4/6, pp. 259-290

Persistent link: https://www.econbiz.de/10010399454

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