Similar Search Results

The Microstructure of Fear, the Fama-French Factors and the Global Financial Crisis of 2007 and 2008

Lim, Dominic - 2010

We analyze minute by minute equity price data from 1 August 2005 to 31 October 2008 to study the relationship between the three sources of systematic risk in Fama and French's (1993) model and the market's expectation of total risk as represented by the VIX (the “fear factor”). Our findings...

Persistent link: https://www.econbiz.de/10013139325

Anomalies, risk adjustment and seasonality : Australian evidence

Zhong, Angel; Limkriangkrai, Manapon; Gray, Philip K. - In: International review of financial analysis 35 (2014), pp. 207-218

Persistent link: https://www.econbiz.de/10010530242

A robustness test of asset-pricing models using individual security returns

Limkriangkrai, Manapon; Durand, Robert B.; Watson, Iain D. - In: Applied economics letters 16 (2009) 4/6, pp. 629-637

Persistent link: https://www.econbiz.de/10003842983

Is liquidity the missing link?

Limkriangkrai, Manapon; Durand, Robert B.; Watson, Iain D. - In: Accounting and finance : journal of the Accounting … 48 (2008) 5, pp. 829-845

Persistent link: https://www.econbiz.de/10003782253

The Australian asset-pricing debate

Durand, Robert B.; Limkriangkrai, Manapon; Chai, Daniel - In: Accounting and finance : journal of the Accounting … 56 (2016) 2, pp. 393-421

Persistent link: https://www.econbiz.de/10011585945

Australian firm characteristics and the cross-section variation in equity returns

Heaney, Richard A.; Koh, SzeKee; Lan, Yihui - In: Pacific-Basin finance journal 37 (2016), pp. 104-115

Persistent link: https://www.econbiz.de/10011668987