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Testing a non-linear model of portfolio behaviour with time-varying expectations and risks : the case of UK private sector pension funds

Blake, David - In: Applied financial economics 1 (1991) 1, pp. 43-59

Persistent link: https://www.econbiz.de/10001114497

Testing a non-linear model of portfolio behaviour with time-varying expectations and risks : the case of UK private sector pension funds

Blake, David - In: Applied financial economics 1 (1991) 2, pp. 105-121

Persistent link: https://www.econbiz.de/10001114492

Institutional flows and equity style diversification

Gallo, John Gregory; Phengpis, Chanwit; Swanson, Peggy … - In: Applied financial economics 18 (2008) 16/18, pp. 1441-1450

Persistent link: https://www.econbiz.de/10003779553

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