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Investor sentiment, beta, and the cost of equity capital
Antoniou, Constantinos; Doukas, John A.; Subrahmanyam, … - In: Management science : journal of the Institute for … 62 (2016) 2, pp. 347-367
Persistent link: https://www.econbiz.de/10011446188
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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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On the other side of hedge fund equity trades
Cui, Xinyu; Kolokolova, Olga; Wang, Jiaguo - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3684-3710
Persistent link: https://www.econbiz.de/10014551965
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Testing the APT with the maximum Sharpe ratio of extracted factors
Zhang, Chu - In: Management science : journal of the Institute for … 55 (2009) 7, pp. 1255-1266
Persistent link: https://www.econbiz.de/10003864260
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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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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 booms and busts of beta arbitrage
Huang, Shiyang; Liu, Xin; Lou, Dong; Polk, Christopher - In: Management science : journal of the Institute for … 70 (2024) 8, pp. 5367-5385
Persistent link: https://www.econbiz.de/10015047126
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Revisiting Ellsberg's and Machina's paradoxes : a two-stage evaluation model under ambiguity
He, Ying - In: Management science : journal of the Institute for … 67 (2021) 11, pp. 6897-6914
Persistent link: https://www.econbiz.de/10012703736
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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
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Portfolio selection with capital gains tax, recursive utility, and regime switching
Cai, Jiatu; Chen, Xinfu; Dai, Min - In: Management science : journal of the Institute for … 64 (2018) 5, pp. 2308-2324
Persistent link: https://www.econbiz.de/10011874111