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The critical role of conditioning information in determining if value is really riskier than growth

Cooper, Michael J.; Gubellini, Stefano - In: Journal of empirical finance 18 (2011) 2, pp. 289-305

Persistent link: https://www.econbiz.de/10009301119

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

Market proxies as factors in linear asset pricing models : still living with the roll critique

Prono, Todd - In: Journal of empirical finance 31 (2015), pp. 36-53

Persistent link: https://www.econbiz.de/10011489332

Time varying behavior of share returns in Australia : 1988-2004

Lum, Yew-Choe; Islam, Sardar M. N. - In: Review of Pacific Basin financial markets and policies 19 (2016) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011490553

Conditioning information and cross-sectional anomalies

Gubellini, Stefano - In: Review of quantitative finance and accounting 43 (2014) 3, pp. 529-569

Persistent link: https://www.econbiz.de/10010490371

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

The conditional capital asset pricing model revisited : evidence from high-frequency betas

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - In: Management science : journal of the Institute for … 66 (2020) 6, pp. 2474-2494

Persistent link: https://www.econbiz.de/10012254406

Testing the risk-return tradeoff in the emerging market of Jordan : what role for financial crises?

Al Refai, Hisham M.; Eissa, Mohamed Abdelaziz - In: Afro-Asian Journal of Finance and Accounting : AAJFA 6 (2016) 2, pp. 183-198

Persistent link: https://www.econbiz.de/10011719685

Does the equity premium puzzle persist during financial crisis? : the case of the French equity market

Bellelah, M. A.; Bellelah, M. O.; Ben Ameur, Hachmi; … - In: Research in international business and finance 39 (2017), pp. 851-866

Persistent link: https://www.econbiz.de/10011912395

New evidence on conditional factor models

Cooper, Ilan; Maio, Paulo - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 5, pp. 1975-2016

Persistent link: https://www.econbiz.de/10012140056