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Portfolio constituency rules and the value premium in the small-cap space
Scislaw, Kenneth E.; McMillan, David G. - In: Managerial finance 41 (2015) 5, pp. 418-436
Persistent link: https://www.econbiz.de/10011335043
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Multiscale relationship between economic policy uncertainty and sectoral returns : implications for portfolio management
Al Rababa'a, Abdel Razzaq; Alomari, Mohammad; Ur … - In: Research in international business and finance 61 (2022), pp. 1-30
Persistent link: https://www.econbiz.de/10014246854
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Is there a risk and return relation?
Fifield, S. G. M.; McMillan, David G.; McMillan, Fiona J. - In: The European journal of finance 26 (2020) 11, pp. 1075-1101
Persistent link: https://www.econbiz.de/10012264949
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The search for an exploitable value premium in market indexes
Scislaw, Kenneth E.; McMillan, David G. - In: The journal of asset management 13 (2012) 4, pp. 253-270
Persistent link: https://www.econbiz.de/10009630240
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Explaining the stock-stock, bond-bond and stock-bond correlation across countries
McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445
Persistent link: https://www.econbiz.de/10012515166
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Rational functions : an alternative approach to asset pricing
Bhaduri nee Chakraborty, Nilanjana; Elgammal, Mohammed … - In: Applied economics 51 (2019) 20, pp. 2091-2119
Persistent link: https://www.econbiz.de/10012196648
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Portfolio Constituency Rules and the Value Premium in the Small-Cap Space
Scislaw, Kenneth E. - 2014
Market-based value style equity portfolios do not systematically outperform market-based growth style equity portfolios, despite considerable academic research that suggests that they should. This is an unresolved puzzle in the long lineage of work on this topic. We ask whether portfolio...
Persistent link: https://www.econbiz.de/10013058943
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Multiscale stock-bond correlation : implications for risk management
Al Rababa'a, Abdel Razzaq; Alomari, Mohammad; McMillan, … - In: Research in international business and finance 58 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10013286286
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The interaction between risk, return-risk trade-off and complexity: Evidence and policy implications for US bank holding companies
McMillan, David G.; McMillan, Fiona J. - In: Journal of international financial markets, … 47 (2017), pp. 103-113
Persistent link: https://www.econbiz.de/10011892256
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Expected profitability, the 52-week high and the idiosyncratic volatility puzzle
Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos - In: The European journal of finance 29 (2023) 14, pp. 1621-1648
Persistent link: https://www.econbiz.de/10014387954