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Quantile relationships between standard, diffusion and jump betas across Japanese banks

Chowdhury, Biplob; Jeyasreedharan, Nagaratnam; Dungey, … - In: Journal of Asian economics 59 (2018), pp. 29-47

Persistent link: https://www.econbiz.de/10012102893

Assessing systematic risk using time series regression : an evidence from Indian capital market

Prakash R. P.; Yaragol, Prakash Basanna - In: The journal of Institute of Public Enterprise 41 (2018) 3/4, pp. 46-62

Persistent link: https://www.econbiz.de/10012023499

A lottery-demand-based explanation of the beta anomaly

Bali, Turan G.; Brown, Stephen J.; Murray, Scott; Tang, Yi - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 6, pp. 2369-2397

Persistent link: https://www.econbiz.de/10011929337

Analysing assets' performance inside a portfolio : from crossed beta to the net risk premium ratio

Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-23

definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …

Persistent link: https://www.econbiz.de/10011877322

The beta anomaly and the quality effect in international stock markets

Bradrania, Reza; Veron, Jose Francisco; Wu, Winston - In: Journal of behavioral and experimental finance 38 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014456700

Profitability and low-risk anomalies reexamined

Kohls, Tobias; Mager, Ferdinand - In: Global finance journal 56 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014478979

A nonparametric approach to measuring the sensitivity of an asset’s return to the market

Severini, Thomas A. - In: Annals of finance 12 (2016) 2, pp. 179-199

Persistent link: https://www.econbiz.de/10011555692

Role of size and risk effects in value anomaly : evidence from the Indian stock market

Sharma, Mehak; Jain, Anshul - In: Cogent economics & finance 8 (2020) 1, pp. 1-12

Portfolios of companies with high book-to-market (BTM) ratio (low Price-To-Book (PB) ratios, Value firms) outperform those with companies with low BTM ratio (high PB ratios, Growth firms). In literature, this is known as the Value Anomaly. This anomaly is related to the third factor in the...

Persistent link: https://www.econbiz.de/10013179656

Adaptive estimation of continuous-time regression models using high-frequency data

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 200 (2017) 1, pp. 36-47

Persistent link: https://www.econbiz.de/10011897689

Low-β investing with mutual funds

Nanigian, David - In: Financial services review : the journal of individual … 23 (2014) 4, pp. 361-383

Persistent link: https://www.econbiz.de/10011392044