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The Time-Varying Liquidity Risk of Value and Growth Stocks
Akbas, Ferhat - 2010
We study the liquidity exposures of value and growth stocks over business cycles. In worst times, value stocks have … higher liquidity betas than in best times, while the opposite holds for growth stocks. Small value stocks have higher … liquidity exposures than small growth stocks in worst times, while small growth stocks have higher liquidity exposures than …
Persistent link: https://www.econbiz.de/10013146639
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Does systematic distress risk drive the investment growth anomaly?
Su, Xuan-Qi - In: The quarterly review of economics and finance : journal … 61 (2016), pp. 240-248
Persistent link: https://www.econbiz.de/10011627535
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On growth, investment, capital, and the rate of return
Harberger, Arnold C. - In: Discount rates for the evaluation of public private …, (pp. 205-228). 2009
Persistent link: https://www.econbiz.de/10003972111
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Essays in monetary policy and comprehensive income accounting : inferring time-varying central bank preferences and the value of ideas
Beechey, Meredith Jane - 2005
Persistent link: https://www.econbiz.de/10003380174
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An estimation of the capital growth rate in business activities
Kurek, Bartosz - In: Modern economy 3 (2012) 4, pp. 364-372
Persistent link: https://www.econbiz.de/10009705378
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News related to future GDP growth as a risk factor in equity returns
Vassalou, Maria - In: Journal of financial economics 68 (2003) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10001746502
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News related to future GDP growth as risk factors in equity returns
Vassalou, Maria - 2000
Persistent link: https://www.econbiz.de/10001471312
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News related to future GDP growth as a risk factor in equity returns
Vassalou, Maria - 2001
Persistent link: https://www.econbiz.de/10013423658
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Size-Portfolio Idiosyncratic Volatility with Aggregate Return, Cross-Sectional Return, and GDP Growth : U.S. and International Evidence
Kuo, Chris - 2011
Firm size is an essential factor in examining the relation between returns and idiosyncratic volatilities. This paper documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is statistically significant in explaining the future...
Persistent link: https://www.econbiz.de/10013117807
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End-of-the-year economic growth and time-varying expected returns
Møller, Stig Vinther; Rangvid, Jesper - In: Journal of financial economics 115 (2015) 1, pp. 136-154
Persistent link: https://www.econbiz.de/10011327248