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Resurrecting the size effect : evidence from a panel nonlinear cointegration model for the G7 stock markets

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The non-linear trade-off between return and risk and its determinants

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The non-linear trade-off between return and risk and its determinants

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Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

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Testing for the efficient market hypothesis in stock prices : international evidence from nonlinear heterogeneous panels

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Testing for stock return predictability in a large Chinese panel

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A cross-section of expected stock returns on the Istanbul Stock Exchange

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What does the cross-section tell about itself? : explaining equity risk premia with stock return moments

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Tests for abnormal returns in the presence of event-induced cross-sectional correlation

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