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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

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

New insights on the US OIS spreads term structure during the recent financial turmoil

Morana, Claudio - In: Applied financial economics 24 (2014) 4/6, pp. 291-317

Persistent link: https://www.econbiz.de/10010399449

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

Permanent and transitory dynamics in house prices and consumption : some implications for the real effects of the financial crisis

Bagliano, Fabio C.; Morana, Claudio - In: Applied financial economics 20 (2010) 1/3, pp. 151-170

In this article, a small-scale macroeconomic system is estimated in the framework of a common trends model, in order to explore the dynamic interactions between real house prices, consumption expenditure and output in the US and major European economies. The results point to important...

Persistent link: https://www.econbiz.de/10003935987

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

Realized betas and the cross-section of expected returns

Morana, Claudio - In: Applied financial economics 19 (2009) 16-18, pp. 1371-1382

Persistent link: https://www.econbiz.de/10008320857

Realized betas and the cross-section of expected returns

Morana, Claudio - In: Applied financial economics 19 (2009) 17, pp. 1371-1382

Persistent link: https://www.econbiz.de/10008284200

Aggregate hedge funds' flows and returns

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

Persistent link: https://www.econbiz.de/10008147896

Aggregate hedge funds' flows and returns

Beltratti, Andrea; Morana, Claudio - In: Applied financial economics 18 (2008) 19-21, pp. 1755

Persistent link: https://www.econbiz.de/10008167923