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Risk-return relationship reinvestigated

Garg, Vidisha; Vasishth, Vibhuti - In: Research bulletin / The Institute of Cost Accountants … 39 (2014), pp. 208-215

Persistent link: https://www.econbiz.de/10011420287

Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices

Barunik, Jozef; Nevrla, Matĕj - In: Journal of financial econometrics 21 (2023) 5, pp. 1590-1646

Persistent link: https://www.econbiz.de/10014444704

Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns

Riedel, Christoph; Wagner, Niklas F. - In: Journal of international financial markets, … 39 (2015), pp. 53-64

Persistent link: https://www.econbiz.de/10011475596

On equity risk prediction and tail spillovers

Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393

Persistent link: https://www.econbiz.de/10011960379

The idiosyncratic momentum anomaly

Blitz, David; Hanauer, Matthias; Vidojevic, Milan - In: International review of economics & finance : IREF 69 (2020), pp. 932-957

Persistent link: https://www.econbiz.de/10012487461

R 2 and idiosyncratic risk are not interchangeable

Li, Bin; Rajgopal, Shivaram; Venkatachalam, Mohan - In: The accounting review : a publication of the American … 89 (2014) 6, pp. 2261-2295

Persistent link: https://www.econbiz.de/10010469131

Volatility and systematic risks in financial markets

Würsig, Christoph Matthias - 2022

Persistent link: https://www.econbiz.de/10013256100

Comoment risk and stock returns

Lambert, M.; Hübner, G. - In: Journal of empirical finance 23 (2013), pp. 191-205

Persistent link: https://www.econbiz.de/10010221739

Real Risk or Paper Risk? Mis-Measured Factors, Granular Measurement Errors, and Empirical Asset Pricing Tests

Byun, Sung Je - 2020

risk for the market portfolio is consistent with theory. The granular residual is volatile and less informative about real … activity than our adjusted index, potentially rationalizing lower/zero risk compensation …

Persistent link: https://www.econbiz.de/10012849714

Dead Alphas as Risk Factors

Kakushadze, Zura - 2018

We give an explicit algorithm and source code for extracting equity risk factors from dead (a.k.a. "flatlined" or …

Persistent link: https://www.econbiz.de/10012933343

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