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Capturing the value premium : global evidence from a fair value-based investment strategy
Woltering, René-Ojas; Weis, Christian; Schindler, Felix; … - In: Journal of banking & finance 86 (2018), pp. 53-69
Persistent link: https://www.econbiz.de/10011962337
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Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...
Persistent link: https://www.econbiz.de/10011780610
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Copula model estimation and test of inventory portfolio pledge rate
Zhou, Li; Dong, Jing - In: International journal of business and economics … 3 (2014) 4, pp. 150-154
Persistent link: https://www.econbiz.de/10010494128
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Role of derivatives market in attenuating underreaction to left-tail risk
Saurav, Sumit; Agarwalla, Sobhesh Kumar; Varma, Jayanth Rama - In: The journal of futures markets 44 (2024) 3, pp. 484-517
Persistent link: https://www.econbiz.de/10014475505
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The performance of socially responsible investment funds and exchange-traded funds : evidence from Johannesburg stock exchange
Marozva, Godfrey - In: Corporate ownership & control : international … 11 (2013/14) 4, pp. 143-152
Persistent link: https://www.econbiz.de/10011338945
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Identification-robust estimation and testing of the zero-beta CAPM
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924
Persistent link: https://www.econbiz.de/10010204244
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Isolating the systematic and unsystematic components of a single stock's (or portfolio's) standard deviation : a comment
Pizzutilo, Fabio - In: Applied economics 47 (2015) 58/60, pp. 6277-6283
Persistent link: https://www.econbiz.de/10011457263
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Dissecting sources of price momentum : evidence from India
Sehgal, Sanjay; Jain, Kanu - In: International journal of emerging markets 10 (2015) 4, pp. 801-819
Persistent link: https://www.econbiz.de/10011489451
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Economic freedom index and stock returns in Malaysia
Devinaga, Rasiah; Ying, Tay Lee; Solarin Sakiru Adebola - In: Theoretical and applied economics : GAER review 23 (2016) 1, pp. 213-236
Persistent link: https://www.econbiz.de/10011563834
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Beyond CAPM: an innovative factor model to optimize the risk and return trade-off
Andriotto, Mauro; Teti, Emanuele - In: Journal of business economics and management 15 (2014) 4, pp. 615-630
Persistent link: https://www.econbiz.de/10010415337