Similar Search Results

Exchange risk and universal returns : a test of international arbitrage pricing theory

Armstrong, Will J.; Knif, Johan; Kolari, James W.; … - In: Pacific-Basin finance journal 20 (2012) 1, pp. 24-40

Persistent link: https://www.econbiz.de/10009629180

Liu, Wei; Kolari, James W. - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-26

This paper combines the CRSP market index with multiple factors to create a single multifactor market index. Empirical tests of different multifactor market indexes indicate that: (1) Sharpe ratios substantially increase and GRS test statistics decrease as multifactors are incrementally added to...

Persistent link: https://www.econbiz.de/10013168866

Choosing factors : the international evidence

Grobys, Klaus; Kolari, James W. - In: Applied economics 54 (2022) 6, pp. 633-647

Persistent link: https://www.econbiz.de/10012874235

Revisiting momentum profits in emerging markets

Butt, Hilal Anwar; Kolari, James W.; Sadaqat, Mohsin - In: Pacific-Basin finance journal 65 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10013209669

Professional Investment Portfolio Management : Boosting Performance with Machine-Made Portfolios and Stock Market Evidence

Kolari, James W.; Liu, Wei; Pynnönen, Seppo - 2023

Part I: Introduction -- Chapter 1: Portfolio Theory and Practice -- Part II: Previous Asset Pricing Models -- Chapter 2: General Equilibrium Asset Pricing Models -- Chapter 3: Multifactor Asset Pricing Models -- Part III: The ZCAPM -- Chapter 4: A New Asset Pricing Model: The ZCAPM -- Chapter 5:...

Persistent link: https://www.econbiz.de/10014467008

Investment Valuation and Asset Pricing : Models and Methods

Kolari, James W.; Pynnönen, Seppo - 2023

Chapter 1: Portfolio Theory and Practice -- Chapter 2: Capital Market Conditions -- Chapter 3: Capital Asset Pricing Model (CAPM) -- Chapter 4: The Market Model -- Chapter 5: The Zero-Beta CAPM -- Chapter 6: Alternative CAPM Specifications -- Chapter 7: Arbitrage Pricing Theory -- Chapter 8:...

Persistent link: https://www.econbiz.de/10013504695