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A higher moment Downside framework for conditional and unconditional CAPM in the Russian stock market

Teplova, Tamara V.; Shutova, Evgeniya - In: Eurasian economic review : a journal of the Eurasia … 1 (2011) 2, pp. 157-178

Persistent link: https://www.econbiz.de/10010340015

New Evidence on Conditional Factor Models

Cooper, Ilan - 2018

We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies. Using conditioning information associated with different instruments improves the performance of the Hou, Xue, and Zhang (2015, HXZ) and Fama and French (2015, 2016, FF) models. The...

Persistent link: https://www.econbiz.de/10012937406

Testing the risk-return tradeoff in the emerging market of Jordan : what role for financial crises?

Al Refai, Hisham M.; Eissa, Mohamed Abdelaziz - In: Afro-Asian Journal of Finance and Accounting : AAJFA 6 (2016) 2, pp. 183-198

Persistent link: https://www.econbiz.de/10011719685

A conditional regime switching CAPM

Vendrame, Vasco; Guermat, Cherif; Tucker, Jon - In: International review of financial analysis 56 (2018), pp. 1-11

Persistent link: https://www.econbiz.de/10012006196

Does the equity premium puzzle persist during financial crisis? : the case of the French equity market

Bellelah, M. A.; Bellelah, M. O.; Ben Ameur, Hachmi; … - In: Research in international business and finance 39 (2017), pp. 851-866

Persistent link: https://www.econbiz.de/10011912395

New evidence on conditional factor models

Cooper, Ilan; Maio, Paulo - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 5, pp. 1975-2016

Persistent link: https://www.econbiz.de/10012140056

Does systematic risk change when markets close? : an analysis using stocks' beta

Insana, Alessandra - In: Economic modelling 109 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013348240