Similar Search Results - EconBiz

Time-variation in the value premium and the CAPM : evidence from European markets

Spyrou, Spyros I.; Kassimatis, Konstantinos - In: Applied financial economics 19 (2009) 22/24, pp. 1899-1914

Many previous studies document a robust premium for value versus growth stocks in international markets. We show that this premium is driven by few years where High Minus Low (HML) returns are high and significant. For instance, for 12 European markets the HML return is statistically...

Persistent link: https://www.econbiz.de/10003921102

An empirical analysis of structural models of corporate debt pricing

Teixeira, João C. A. - In: Applied financial economics 17 (2007) 13/15, pp. 1141-1165

Persistent link: https://www.econbiz.de/10003590559

Time variation of CAPM betas across market volatility regimes

Abdymomunov, Azamat; Morley, James C. - In: Applied financial economics 21 (2011) 19/21, pp. 1463-1478

Persistent link: https://www.econbiz.de/10009356092

Testing the CAPM across observed and fundamental returns

Berger, Dave - In: Applied financial economics 21 (2011) 7/9, pp. 625-636

Persistent link: https://www.econbiz.de/10009153240

Momentum in stock market returns : implications for risk premia on foreign currencies

Nitschka, Thomas - In: Applied financial economics 23 (2013) 7/9, pp. 551-560

Persistent link: https://www.econbiz.de/10009750714

Financial turbulence and beta estimation

Berger, Dave - In: Applied financial economics 23 (2013) 1/3, pp. 251-263

Persistent link: https://www.econbiz.de/10009718964

Testing for contagion in US industry portfolios : a four-factor pricing approach

Milunovich, George; Tan, Antony - In: Applied financial economics 23 (2013) 1/3, pp. 15-26

Persistent link: https://www.econbiz.de/10009719046

Time-varying betas of sectoral returns to market returns and exchange rate movements

Karlsson, Hyunjoo Kim; Hacker, Scott - In: Applied financial economics 23 (2013) 13/15, pp. 1155-1168

Persistent link: https://www.econbiz.de/10010204788

Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange?

Waszczuk, Antonia - In: Applied financial economics 23 (2013) 19/21, pp. 1497-1508

Persistent link: https://www.econbiz.de/10010259376

Evidence for state and time nonseparable preferences : the case of Finland

Virk, Nader Shahzad - In: Applied financial economics 23 (2013) 22/24, pp. 1821-1838

Persistent link: https://www.econbiz.de/10010337260

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