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Novy-Marx, Robert - 2014

Persistent link: https://www.econbiz.de/10010431331

Novy-Marx, Robert - 2014

the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy …High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the …

Persistent link: https://www.econbiz.de/10012458074

Downside risks and the cross-section of asset returns

Farago, Adam; Tédongap, Roméo - In: Journal of financial economics 129 (2018) 1, pp. 69-86

Persistent link: https://www.econbiz.de/10011981218

Investment strategies and determinants in capital markets

Grabellus, Markus - 2014

Persistent link: https://www.econbiz.de/10010486731

Downside beta and equity returns around the world

Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: The journal of portfolio management : a publication of … 44 (2018) 7, pp. 39-54

Persistent link: https://www.econbiz.de/10012260362

Downside Beta and Equity Returns around the World

Atilgan, Yigit - 2019

We investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain the cross-sectional differences in future and...

Persistent link: https://www.econbiz.de/10012903218