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Liquidity, time-varying betas and anomalies : is the high trading activity enhancing the validity of the CAPM in the UK equity market?
Rojo-Suárez, Javier; Alonso-Conde, Ana Belén; … - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 45-60
Persistent link: https://www.econbiz.de/10012814339
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The role of shorting, firm size, and time on market anomalies
Israel, Ronen; Moskowitz, Tobias J. - In: Journal of financial economics 108 (2013) 2, pp. 275-301
Persistent link: https://www.econbiz.de/10009749340
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - In: Journal of financial economics 122 (2016) 2, pp. 221-247
Persistent link: https://www.econbiz.de/10011590901
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Overlapping momentum portfolios
Blanco, Ivan; Jesus, Miguel de; Remesal, Alvaro - In: Journal of empirical finance 72 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014476787
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Sports betting and the Black-Litterman model : a new portfolio-management perspective
Abinzano, Isabel; Campión, María J.; Muga, Luis; … - In: International journal of sport finance 16 (2021) 4, pp. 184-195
Persistent link: https://www.econbiz.de/10012792912
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The existence of an anomaly in the city indices in Borsa Istanbul
Altin, Hakan - In: International journal of corporate finance and … 8 (2021) 2, pp. 12-27
Persistent link: https://www.econbiz.de/10012666820
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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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Volatility asset pricing model as an alternative approach?
Kuklik, Robert G.; Vacek, Vladislav - In: European financial and accounting journal : EFAJ 8 (2013) 1, pp. 39-66
The reality of contemporary developments in the capital markets indicates that they do not lend themselves to the deductive theory based on simplified rationality of the physical world. The behaviour of the markets cannot be derived from rather bare postulates of the so called "random walk"...
Persistent link: https://www.econbiz.de/10011460249
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Systematic risk shift and post-merger performance
Nguyen, Giang D. - In: International journal of economics and finance 7 (2015) 4, pp. 35-45
Persistent link: https://www.econbiz.de/10010515852
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A sector strategy from the Fama and French model
Ferruz Agudo, Luis; Badía, Guillermo - In: Applied economics letters 22 (2015) 16/18, pp. 1511-1514
Persistent link: https://www.econbiz.de/10011380411