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Bear beta or speculative beta? : reconciling the evidence on downside risk premium
Wang, Tong - In: Review of finance : journal of the European Finance … 27 (2023) 1, pp. 325-367
Persistent link: https://www.econbiz.de/10013543164
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Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium
Wang, Tong - 2022
market. We decompose an option- based factor into three main components and identify the one responsible for the beta … related to the betting-against-beta puzzle. We trace the root of this anomaly to disagreement concerning the aggregate stock …
Persistent link: https://www.econbiz.de/10013305706
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Tail risk, beta anomaly, and demand for lottery : what explains cross-sectional variations in equity returns?
Ali, Asgar; Badhani, K. N. - In: Empirical economics : a quarterly journal of the … 65 (2023) 2, pp. 775-804
Persistent link: https://www.econbiz.de/10014329083
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Mean reversals and stock market overreactions : further evidence from India
Saji, T. G. - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 4, pp. 467-477
Persistent link: https://www.econbiz.de/10014331571
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The beta anomaly and mutual fund performance
Irvine, Paul; Kim, Jeong-ho; Ren, Jue - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 143-163
Persistent link: https://www.econbiz.de/10014469917
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Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef; Nevrla, Matĕj - In: Journal of financial econometrics 21 (2023) 5, pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
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Return direction forecasting : a conditional autoregressive shape model with beta density
Xie, Haibin; Sun, Yuying; Fan, Pengying - In: Financial innovation : FIN 9 (2023) 1, pp. 1-16
shape (CARS) model with beta density to predict the direction of stock returns. The CARS model is continuously valued, which …
Persistent link: https://www.econbiz.de/10014289111
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ETFs versus CEFs : performance in international equitiy investing
Chang, C. Edward; Ragan, Kent P.; Witte, H. Doug - In: International journal of economics and finance 5 (2013) 12, pp. 79-85
Persistent link: https://www.econbiz.de/10010228959
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The price behavior of REITs surrounding extreme market-related events
Glascock, John Leslie; Lu-Andrews, Ran - In: The journal of real estate finance and economics 51 (2015) 4, pp. 441-479
Persistent link: https://www.econbiz.de/10011475176
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Do asymmetries in the Indian equity market exist during the COVID-19?
Bannigidadmath, Deepa; Truter, Philippus Albertus - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 10, pp. 2838-2851
Persistent link: https://www.econbiz.de/10012607429