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Novy-Marx, Robert - 2014

Persistent link: https://www.econbiz.de/10010431331

Novy-Marx, Robert - 2014

the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy …High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the …

Persistent link: https://www.econbiz.de/10012458074

Downside risks and the cross-section of asset returns

Farago, Adam; Tédongap, Roméo - In: Journal of financial economics 129 (2018) 1, pp. 69-86

Persistent link: https://www.econbiz.de/10011981218

Investment strategies and determinants in capital markets

Grabellus, Markus - 2014

Persistent link: https://www.econbiz.de/10010486731

Downside Beta and Equity Returns around the World

Atilgan, Yigit - 2019

We investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain the cross-sectional differences in future and...

Persistent link: https://www.econbiz.de/10012903218

Downside beta and equity returns around the world

Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: The journal of portfolio management : a publication of … 44 (2018) 7, pp. 39-54

Persistent link: https://www.econbiz.de/10012260362

Investor attention: what does it measure, really?

Bucher, Melk - In: Essays in asset pricing, (pp. 90-122). 2018

that the short leg is related to 7 of them. Part of the associations is driven by idiosyncratic volatility and thus joint …

Persistent link: https://www.econbiz.de/10011906887

The downside risk and equity evaluation : emerging market evidence

Chen, Jianguo; Chen, Dar-hsin - In: Journal of emerging market finance 3 (2004) 1, pp. 77-93

Persistent link: https://www.econbiz.de/10002073289

Kapitalmarktanomalie Value versus Growth : eine empirische Analyse des Value Effekts bei Aktien und Anleihen

Schneider, Martin - 2018

Systematische Abweichungen zwischen gehandelten Marktpreisen und fundamentalen Werten von Wertpapieren zeigen bis heute, dass Kapitalmärkte weder vollkommen noch effizient sind. Sowohl die Finanzmarktforschung als auch die Investmentpraxis befassen sich weiter mit der Suche nach geeigneten...

Persistent link: https://www.econbiz.de/10013464290

Size, value, and momentum risk in the cross-section of average returns and volatility

Lindaas, Knut F.; Simlai, Prodosh - In: Research in finance 32 (2016), pp. 109-144

Persistent link: https://www.econbiz.de/10011691511

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