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Arbitrage risk and the turnover anomaly
Chou, Pin-huang; Huang, Tsung-yu; Yang, Hung-jeh - In: Journal of banking & finance 37 (2013) 11, pp. 4172-4182
Persistent link: https://www.econbiz.de/10010245601
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Kapitalmarktmodelle und erwartete Renditen am deutschen Aktienmarkt
Schneider, Sebastian - 2001
Persistent link: https://www.econbiz.de/10001530439
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Data-driven investigation into anomaly trading strategies : evidence with econometrics
French, Jordan - 2019
Persistent link: https://www.econbiz.de/10012126157
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Style-investing auf europäischen Aktienmärkten : eine empirische Analyse bewertungsrelevanter Fundamentalfaktoren
Paulus, Helmut - 1997
Persistent link: https://www.econbiz.de/10013438293
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Investing in the asset growth anomaly across the globe
Li, Xi; Sullivan, Rodney N. - In: Journal of investment management : JOIM 13 (2015) 4, pp. 87-107
Persistent link: https://www.econbiz.de/10011640402
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The disappearing profitability of volatility-managed equity factors
Angelidis, Timotheos; Tessaromatis, Nikolaos P. - In: Journal of financial markets 65 (2023), pp. 1-27
Persistent link: https://www.econbiz.de/10014466364
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Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
without factors, but with a continuum of securities that have returns driven by a string. In this model, the arbitrage …
Persistent link: https://www.econbiz.de/10012421289
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Cross-section without factors : a string model for expected returns
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - In: Quantitative finance 24 (2024) 6, pp. 693-718
Persistent link: https://www.econbiz.de/10015050788
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Correlation risk, strings and asset prices
Mele, Antonio; Distaso, Walter; Vilkov, Grigory - 2019
Persistent link: https://www.econbiz.de/10012181112
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On Modelling Long Term Stock Returns with Ergodic Diffusion Processes : Arbitrage and Arbitrage-Free Specifications
Wong, Bernard - 2008
We investigate the arbitrage-free property of stock price models where the local martingale component is based on an … models in the literature admit arbitrage opportunities. We investigate in detail the features of the existing model … specifications which create these arbitrage opportunities, and consequently construct a modification that is arbitrage free …
Persistent link: https://www.econbiz.de/10014212786