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Understanding the sources of risk underlying the cross section of commodity returns
Bakshi, Gurdip S.; Gao, Xiaohui; Rossi, Alberto - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 619-641
Persistent link: https://www.econbiz.de/10012000721
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Dynamic conditional beta is alive and well in the cross section of daily stock returns
Bali, Turan G.; Engle, Robert F.; Tang, Yi - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3760-3779
Persistent link: https://www.econbiz.de/10011772757
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The beta anomaly and mutual fund performance
Irvine, Paul; Kim, Jeong-ho; Ren, Jue - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 143-163
Persistent link: https://www.econbiz.de/10014469917
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Forecasting the equity risk premium : the role of technical indicators
Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - In: Management science : journal of the Institute for … 60 (2014) 7, pp. 1772-1791
Persistent link: https://www.econbiz.de/10010399441
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Asset pricing with downside liquidity risks
Anthonisz, Sean A.; Putniņš, Tālis J. - In: Management science : journal of the Institute for … 63 (2017) 8, pp. 2549-2572
Persistent link: https://www.econbiz.de/10011741402
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The conditional capital asset pricing model revisited : evidence from high-frequency betas
Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - In: Management science : journal of the Institute for … 66 (2020) 6, pp. 2474-2494
Persistent link: https://www.econbiz.de/10012254406
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Tail risk dynamics in stock returns : links to the macroeconomy and global markets connectedness
Massacci, Daniele - In: Management science : journal of the Institute for … 63 (2017) 9, pp. 3072-3089
Persistent link: https://www.econbiz.de/10011749024
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Macroeconomic volatilities and long-run risks of asset prices
Zhou, Guofu; Zhu, Yingzi - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 413-430
Persistent link: https://www.econbiz.de/10010490848
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Dynamic attention behavior under return predictability
Andrei, Daniel; Hasler, Michael - In: Management science : journal of the Institute for … 66 (2020) 7, pp. 2906-2928
Persistent link: https://www.econbiz.de/10012268553
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Tail risk and robust portfolio decisions
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 3254-3275
Persistent link: https://www.econbiz.de/10012581376