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Realized mean-variance efficient portfolio selection and euro area stock market integration

Morana, Claudio - In: Applied financial economics 20 (2010) 10/12, pp. 989-1001

Persistent link: https://www.econbiz.de/10009009795

Realized betas and the cross-section of expected returns

Morana, Claudio - In: Applied financial economics 19 (2009) 16/18, pp. 1371-1381

What explains the cross section of expected returns for the 25 size/value Fama-French (FF) portfolios? It is found that modelling time-varying betas is important to explain the cross section of expected returns, as well as to comply with the time series restriction on Jensen-alpha. Support for a...

Persistent link: https://www.econbiz.de/10003886197

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

Aggregate hedge funds' flows and returns

Beltratti, Andrea; Morana, Claudio - In: Applied financial economics 18 (2008) 18/21, pp. 1755-1764

Persistent link: https://www.econbiz.de/10003800246