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Behavior of international stock return distributions : a simple test of functional form

Errunza, Vihang R. - In: International review of economics & finance : IREF 5 (1996) 1, pp. 51-61

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Factor risk premiums and invested capital : calculations with stochastic discount factors

Ang, Andrew; Hogan, Kedreth C.; Shores, Sara - In: The journal of asset management 19 (2018) 3, pp. 145-155

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The dynamics of geographic versus sectoral diversification : is there a link to the real economy?

Carrieri, Francesca (contributor); … - 2006 - This version: March 2006

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Correlation dynamics and international diversification benefits

Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - In: International journal of forecasting 30 (2014) 3, pp. 807-824

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The dynamics of geographic versus sectoral diversification : is there a link to the real economy?

Carrieri, Francesca; Errunza, Vihang R.; Sarkissian, Sergei - In: The quarterly journal of finance 2 (2012) 4, pp. 1901-1941

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The world price of exchange risk in the Pacific Basin equity markets

Chou, Peter Shyan-rong; Jan, Yin-ching; Hung, Mao-Wei - In: Applied financial economics 12 (2002) 5, pp. 361-370

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Pacific Basin stock markets and international capital asset pricing

Jan, Yin-Ching; Chou, Peter Shyan-rong; Hung, Mao-Wei - In: Global finance journal 11 (2000) 1/2, pp. 1-16

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An intertemporal CAPM approach to evaluate mutual fund performance

Chang, Jow-ran; Hung, Mao-Wei; Lee, Cheng F. - In: Review of quantitative finance and accounting 20 (2003) 4, pp. 415-433

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Artificial momentum, native contrarian, and transparency in China

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Why are REIT Risk Premiums Currently so High? A Beta Decomposition Perspective

Hung, Mao-Wei; Wang, Ken P. Y.; Yen, Ju-Fang - 2023

The risk premiums on real estate investment trusts (REITs) have exceeded and remained higher than those of stocks since the financial crisis of 2007--2008. In this paper, we investigate the reason why. Using the Campbell-Shiller beta decomposition, we find that REIT returns are more sensitive to...

Persistent link: https://www.econbiz.de/10014257982