Similar Search Results

Contagion and downside risk in the REIT market during the subprime mortgage crisis

Chen, Ming-Chi; Tsai, Hsiu-Jung; Sing, Tien-foo; Yang, … - In: International journal of strategic property management 19 (2015) 1, pp. 42-57

Persistent link: https://www.econbiz.de/10011302960

Is there a low-risk anomaly across countries?

Zaremba, Adam - In: Eurasian economic review : a journal in applied … 6 (2016) 1, pp. 45-65

Persistent link: https://www.econbiz.de/10011441281

Value at risk, mispricing and expected returns

Yang, Baochen; Ma, Yao - In: International review of financial analysis 78 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013252729

Asymmetric jump beta estimation with implications forportfolio risk management

Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - 2017

Persistent link: https://www.econbiz.de/10012806610

Asymmetric dependence in real estate investment trusts : an asset-pricing analysis

Alcock, Jamie; Andrlikova, Petra - In: The journal of real estate finance and economics 56 (2018) 2, pp. 183-216

Persistent link: https://www.econbiz.de/10011966511

Asset pricing and downside risk in the Australian share market

Alles, Lakshman; Murray, Louis - In: Applied economics 49 (2017) 43, pp. 4336-4350

Persistent link: https://www.econbiz.de/10011843179

Risk and return of a trend-chasing application in financial markets: an empirical test

Ilomäki, Jukka - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 3, pp. 258-272

Persistent link: https://www.econbiz.de/10011885978

Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012489163

Portfolio selection : should be a wise decision!

Dsouza, Suzan; Dey, Prithviraj - In: Indian journal of economics & business : IJEB 16 (2017) 2, pp. 269-278

Persistent link: https://www.econbiz.de/10011873805

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

Persistent link: https://www.econbiz.de/10012175486

1
2
3
4
5
6
7
8
9
10
Next
Last