Narrow search
Showing 1 - 6 of 6
Cover Image
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
Cover Image
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
Cover Image
Observable implications of the conditional CAPM
Souza, Thiago de Oliveira - 2020
Persistent link: https://www.econbiz.de/10012383870
Cover Image
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
Cover Image
A comparative computational and behavioral analysis of real estate performance : anchoring on the post-financial crisis
DeLisle, James R.; Grissom, Terry V. - In: Journal of property investment & finance 35 (2017) 3, pp. 290-320
Persistent link: https://www.econbiz.de/10011706900
Cover Image
Conditional CAPM using expected returns of Brazilian sustainability companies
Tambosi Filho, Elmo - In: Theoretical economics letters 8 (2018) 3, pp. 367-377
Persistent link: https://www.econbiz.de/10011822694