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News and idiosyncratic volatility : the public information processing hypothesis

Engle, Robert F.; Hansen, Martin Klint; Karagozoglu, … - In: Journal of financial econometrics 19 (2021) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10012504316

Dynamic conditional beta is alive and well in the cross-section of daily stock returns

Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013 - This draft: October 8, 2012

This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of daily stock returns. Portfolio-level analyses and...

Persistent link: https://www.econbiz.de/10009710605

Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices

Barunik, Jozef; Nevrla, Matĕj - In: Journal of financial econometrics 21 (2023) 5, pp. 1590-1646

Persistent link: https://www.econbiz.de/10014444704

Price discovery in high resolution

Hasbrouck, Joel - In: Journal of financial econometrics 19 (2021) 3, pp. 395-430

Persistent link: https://www.econbiz.de/10012654935

Comment on: price discovery in high resolution

Brugler, James; Comerton-Forde, Carole - In: Journal of financial econometrics 19 (2021) 3, pp. 431-438

Persistent link: https://www.econbiz.de/10012654938

Comment on: price discovery in high resolution

Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 19 (2021) 3, pp. 439-451

Persistent link: https://www.econbiz.de/10012654941

Comment on: price discovery in high resolution

Jong, Frank de - In: Journal of financial econometrics 19 (2021) 3, pp. 452-458

Persistent link: https://www.econbiz.de/10012654944