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Book-to-market and the cross-section of expected returns in international stock markets

Bali, Turan G.; Cakici, Nusret; Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 39 (2013) 2, pp. 101-115

Persistent link: https://www.econbiz.de/10009708215

Size, value, and momentum in emerging market stock returns

Cakici, Nusret; Fabozzi, Frank J.; Tan, Sinan - In: Emerging markets review 16 (2013), pp. 46-65

Persistent link: https://www.econbiz.de/10010243168

Equity style allocation : a nonparametric approach

Subbiah, Mohan; Fabozzi, Frank J. - In: The journal of asset management 17 (2016) 3, pp. 141-164

Persistent link: https://www.econbiz.de/10011485142

Can we predict stock market crashes?

Focardi, Sergio M.; Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 40 (2014), pp. 183-195

Persistent link: https://www.econbiz.de/10011509826

How fat are the tails of equity market indices?

Stoyanov, Stoyan V.; Loh, Lixia; Fabozzi, Frank J. - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 181-200

Persistent link: https://www.econbiz.de/10011960289

Sin stock returns

Fabozzi, Frank J.; Ma, K. C.; Oliphant, Becky J. - In: The journal of portfolio management : a publication of … 35 (2008/09) 1, pp. 82-94

Persistent link: https://www.econbiz.de/10009520480

Stability Tests for Alphas and Betas Over Bull and Bear Market Conditions

Fabozzi, Frank J. - 2019

Monthly returns are used to estimate the single-index market model (SIMM). Binary variables are used to determine if the alpha intercept and beta slope coefficients are stable through alternating bull markets and bear markets. The results suggest that some investment analysts have fallen into...

Persistent link: https://www.econbiz.de/10012904378