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Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model

Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119

Persistent link: https://www.econbiz.de/10011333691

Does beta explain global equity market volatility : some empirical evidence

Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66

The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...

Persistent link: https://www.econbiz.de/10009770247

Time-varying beta: a boundedly rational equilibrium approach

Chiarella, Carl; Dieci, Roberto; He, Xue-zhong - In: Journal of evolutionary economics : JEE 23 (2013) 3, pp. 609-639

Persistent link: https://www.econbiz.de/10009773913

The state-dependent time variation in the value premium

Sharaiha, Yazid M.; Johansson, Kristoffer Kittilsen - In: The journal of asset management 15 (2014) 2, pp. 150-161

Persistent link: https://www.econbiz.de/10010384768

Multifactor risk loadings and abnormal returns under uncertainty and learning

Salotti, Simone; Trecroci, Carmine - In: The quarterly review of economics and finance : journal … 54 (2014) 3, pp. 393-404

Persistent link: https://www.econbiz.de/10010492632

Regression-based estimation of dynamic asset pricing models

Adrian, Tobias; Crump, Richard K.; Mönch, Emanuel - In: Journal of financial economics 118 (2015) 2, pp. 211-244

Persistent link: https://www.econbiz.de/10011480393

Asset pricing with time-varying betas for stock traded on S&P 500

Messis, Petros; Zapranis, Achilleas - In: Applied economics 46 (2014) 34/36, pp. 4508-4518

Persistent link: https://www.econbiz.de/10010462694

New Evidence on Conditional Factor Models

Cooper, Ilan - 2018

We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies. Using conditioning information associated with different instruments improves the performance of the Hou, Xue, and Zhang (2015, HXZ) and Fama and French (2015, 2016, FF) models. The...

Persistent link: https://www.econbiz.de/10012937406

High-frequency factor models and regressions

Aït-Sahalia, Yacine; Kalnina, Ilze; Xiu, Dacheng - In: Journal of econometrics 216 (2020) 1, pp. 86-105

Persistent link: https://www.econbiz.de/10012439640

Shareholder activism and equity price reactions

King, Timothy; Bozos, Konstantinos; Koutmos, Dimitrios - In: Economics letters 160 (2017), pp. 100-104

Persistent link: https://www.econbiz.de/10011903814