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Arbitrage risk and the turnover anomaly

Chou, Pin-huang; Huang, Tsung-yu; Yang, Hung-jeh - In: Journal of banking & finance 37 (2013) 11, pp. 4172-4182

Persistent link: https://www.econbiz.de/10010245601

The analysis of the arbitrage pricing model on the stock return : a case of Athens stock market

Khudoykulov, Khurshid - In: American journal of finance and accounting 5 (2017) 1, pp. 51-63

Persistent link: https://www.econbiz.de/10011834005

Correlation risk, strings and asset prices

Mele, Antonio; Distaso, Walter; Vilkov, Grigory - 2019

Persistent link: https://www.econbiz.de/10012181112

Cross-section without factors : correlation risk, strings and asset prices

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

without factors, but with a continuum of securities that have returns driven by a string. In this model, the arbitrage …

Persistent link: https://www.econbiz.de/10012421289

Stock fund returns and macroeconomic variables in Brazil

Rebeschini, Amabile Millani; Leal, Ricardo Pereira Câmara - In: Latin American business review : journal of the … 17 (2016) 2, pp. 139-161

Persistent link: https://www.econbiz.de/10011533037

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

Interest-Rate Risk Factor and Stock Returns : A Time-Varying Factor-Loadings Model

Huang, Peng - 2018

We extend the Fama–French three-factor model to include a risk factor that proxies for interest-rate risk faced by firms in an attempt to reduce the pricing errors that the three-factor model cannot explain. These pricing errors are observed especially in small size and low book-to-market...

Persistent link: https://www.econbiz.de/10012931064

Arbitrage pricing theory in ergodic markets

Frahm, Gabriel - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-28

Persistent link: https://www.econbiz.de/10011903768

Systematic limited arbitrage and the cross-section of stock returns : evidence from exchange traded funds

DeLisle, R. Jared; McTier, Brian C.; Smedema, Adam R. - In: Journal of banking & finance 70 (2016), pp. 118-136

Persistent link: https://www.econbiz.de/10011635135

Arbitrage and leverage strategies in bubbles under synchronization risks and noise-trader risks

Tan, Senren; Zhuo, Jin; Wu, Fuke - In: Economic modelling 49 (2015), pp. 331-343

Persistent link: https://www.econbiz.de/10011439593

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