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Data-snooping, technical trading rule performance, and the bootstrap
Sullivan, Ryan; Timmermann, Allan; White, Halbert - In: The journal of finance : the journal of the American … 54 (1999) 5, pp. 1647-1691
Persistent link: https://www.econbiz.de/10001430863
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Intermediary-based equity term structure
Li, Kai; Xu, Chenjie - In: Journal of financial economics 157 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10015072447
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Liquidity risk and exchange-traded fund returns, variances, and tracking errors
Bae, Kyounghun; Kim, Daejin - In: Journal of financial economics 138 (2020) 1, pp. 222-253
Persistent link: https://www.econbiz.de/10012631970
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Indexing and active fund management : international evidence
Cremers, Martijn; Ferreira, Miguel A.; Matos, Pedro; … - In: Journal of financial economics 120 (2016) 3, pp. 539-560
Persistent link: https://www.econbiz.de/10011590253
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Be greedy when others are fearful : evidence from a two-decade assessment of the NDX 100 and S&P 500 indexes
Day, Min-Yuh; Ni, Yensen - In: International review of financial analysis 90 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014468853
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Choosing factors
Fama, Eugene F.; French, Kenneth Ronald - In: Journal of financial economics 128 (2018) 2, pp. 234-252
Persistent link: https://www.econbiz.de/10011971044
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In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models
Kan, Raymond; Wang, Xiaolu; Zheng, Xinghua - In: Journal of financial economics 155 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10015072280
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Asset pricing with index investing
Chabakauri, Georgy; Ryčkov, Oleg - In: Journal of financial economics 141 (2021) 1, pp. 195-216
Persistent link: https://www.econbiz.de/10012872622
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Common pricing across asset classes : empirical evidence revisited
Gospodinov, Nikolaj; Robotti, Cesare - In: Journal of financial economics 140 (2021) 1, pp. 292-324
Persistent link: https://www.econbiz.de/10013188701
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Temporal aggregation of the Aumann-Serrano and Foster-Hart performance indexes
Hodoshima, Jiro; Yamawake, Toshiyuki - In: International review of financial analysis 83 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013454995