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Idiosyncratic information and the cost of equity capital : a meta-analytic review of the literature
Schreder, Max - In: Journal of accounting literature : the official journal … 41 (2018), pp. 142-172
Persistent link: https://www.econbiz.de/10012030539
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk …
Persistent link: https://www.econbiz.de/10010307494
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Empirical risk factors in realized stock returns
Novák, Jiří; Petr, Dalibor - 2009
Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the assets or to determine the cost of...
Persistent link: https://www.econbiz.de/10010322253
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Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
Bretschger, Lucas; Lechthaler, Filippo - 2012
momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the …
Persistent link: https://www.econbiz.de/10011753224
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Common risk factors and the macroeconomy : new evidence from the Japanese stock market
Bretschger, Lucas; Lechthaler, Filippo - 2012
momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the …
Persistent link: https://www.econbiz.de/10009552906
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Residual momentum
Blitz, David; Huij, Joop; Martens, Martin - In: Journal of empirical finance 18 (2011) 3, pp. 506-521
Persistent link: https://www.econbiz.de/10009302077
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Testing conditional factor models : a nonparametric approach
Li, Yan; Yang, Liyan - In: Journal of empirical finance 18 (2011) 5, pp. 972-992
Persistent link: https://www.econbiz.de/10009492521
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The smallest stocks are not just smaller : global evidence
Moor, Lieven de; Sercu, Piet - In: The European journal of finance 21 (2015) 1/3, pp. 51-70
Persistent link: https://www.econbiz.de/10010519976
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Hedging the time-varying risk exposures of momentum returns
Martens, Martin; Oord, Arco van - In: Journal of empirical finance 28 (2014), pp. 78-89
Persistent link: https://www.econbiz.de/10011284506
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Value, size, momentum, and unique role of microcaps in CEE market stock returns
Zaremba, Adam - In: Eastern European economics 53 (2015) 3, pp. 221-241
Persistent link: https://www.econbiz.de/10011373707