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Long-term discount rates do not vary across firms

Keloharju, Matti; Linnainmaa, Juhani; Nyberg, Peter - In: Journal of financial economics 141 (2021) 3, pp. 946-967

Persistent link: https://www.econbiz.de/10012873077

Lucky factors

Harvey, Campbell R.; Liu, Yan - In: Journal of financial economics 141 (2021), pp. 413-435

Persistent link: https://www.econbiz.de/10013259772

Lucky factors

Harvey, Campbell R.; Liu, Yan - In: Journal of financial economics 141 (2021) 2, pp. 413-435

Persistent link: https://www.econbiz.de/10013259856

Cyclicality of size, value, and momentum on the Johannesburg Stock Exchange

Kapche Fotso, M. H.; Brown, Warren - In: Journal for studies in economics and econometrics : SEE 45 (2021) 2, pp. 117-129

Persistent link: https://www.econbiz.de/10013173965

What happens with more funds than stocks? Analysis of crowding in style factors and individual equities

Madhavan, Ananth Narayan; Sobczyk, Aleksander; Ang, Andrew - In: Journal of investment management : JOIM 19 (2021) 2, pp. 4-28

Persistent link: https://www.econbiz.de/10012815028

Do you really know your cost of capital?

Keloharju, Matti; Linnainmaa, Juhani; Nyberg, Peter - 2021

Conventional wisdom, reflected in firm, investment bank, and court practice and the way academics teach corporate finance, suggests that the equity cost of capital varies considerably across firms. This practice builds on a vast amount of evidence on expected rate of return differences between...

Persistent link: https://www.econbiz.de/10012816634

Jump, diffusion, and long-term volatility risks with incremental information in VIX assets

Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96

Persistent link: https://www.econbiz.de/10012486031

Time-series efficient factors

Ehsani, Sina; Linnainmaa, Juhani - 2020

Factors in prominent asset pricing models are positively autocorrelated. We derive a transformation that turns an … autocorrelated factor to a ``time-series efficient'' factor. Time-series efficient factors earn significantly higher Sharpe ratios … than the original factors and contain all the information found in the original factors. Momentum strategies profit from …

Persistent link: https://www.econbiz.de/10012244867

Factors influencing the choice of financial advisor by women stock investors in Punjab : an empirical study

Kaur Ghuman, Mandeep; Vohra, Tina - In: International journal of law and management : IJLMA 59 (2017) 2, pp. 192-201

Persistent link: https://www.econbiz.de/10011703412

The q-factors and expected bond returns

Franke, Benedikt; Müller, Sebastian; Müller, Sonja - In: Journal of banking & finance 83 (2017), pp. 19-35

Persistent link: https://www.econbiz.de/10011816818