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Testing beta-pricing models using large cross-sections
Raponi, Valentina; Robotti, Cesare; Zaffaroni, Paolo - In: The review of financial studies 33 (2020) 6, pp. 2796-2842
Persistent link: https://www.econbiz.de/10012244829
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Asset pricing models : implications for expected returns and portfolio selection
MacKinlay, Archie Craig; Pástor, Ľuboš - In: The review of financial studies 13 (2000) 4, pp. 883-916
Persistent link: https://www.econbiz.de/10001525314
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Understanding the nature of the risks and the source of the rewards to momentum investing
Grundy, Bruce D.; Martin, J. Spencer - In: The review of financial studies 14 (2001) 1, pp. 29-78
Persistent link: https://www.econbiz.de/10001543104
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Time-varying liquidity risk and the cross section of stock returns
Watanabe, Akiko; Watanabe, Masahiro - In: The review of financial studies 21 (2008) 6, pp. 2449-2486
Persistent link: https://www.econbiz.de/10003805068
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The time variation of risk and return in foreign exchange markets : a general equilibrium perspective
Bekaert, Geert - In: The review of financial studies 9 (1996) 2, pp. 427-470
Persistent link: https://www.econbiz.de/10001202800
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A general equilibrium model of changing risk premia : theory and tests
Bossaerts, Peter L. - In: The review of financial studies 2 (1989) 4, pp. 467-493
Persistent link: https://www.econbiz.de/10001106407
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Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns
Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - In: The review of financial studies 22 (2009) 9, pp. 3411-3447
Persistent link: https://www.econbiz.de/10003885704
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Learning from prices and the dispersion in beliefs
Banerjee, Snehal - In: The review of financial studies 24 (2011) 9, pp. 3025-3068
Persistent link: https://www.econbiz.de/10009373070
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Asset allocation with a high dimensional latent factor stochastic volatility model
Han, Yufeng - In: The review of financial studies 19 (2006) 1, pp. 237-271
Persistent link: https://www.econbiz.de/10003325179
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Testing portfolio efficiency with conditioning information
Ferson, Wayne E.; Siegel, Andrew F. - In: The review of financial studies 22 (2009) 7, pp. 2735-2758
Persistent link: https://www.econbiz.de/10003866868