Similar Search Results

Explaining mispricing with Fama-French factors : new evidence from the multiscaling approach

In, Francis Haeuck; Kim, Sangbae; Faff, Robert W. - In: Applied financial economics 20 (2010) 4/6, pp. 323-330

This article examines the Capital Asset Pricing Model (CAPM) over different frequencies utilizing a recently developed multiscaling method: wavelet analysis. Our empirical analysis shows that the risk factors are more relevant at the lower frequencies than at the higher frequencies in the...

Persistent link: https://www.econbiz.de/10003963131

Systemic risk and cross-sectional hedge fund returns

Hwang, Inchang; Xu, Simon; In, Francis Haeuck; Kim, Tong Suk - In: Journal of empirical finance 42 (2017), pp. 109-130

Persistent link: https://www.econbiz.de/10011808555

Naive versus optimal diversification : tail risk and performance

Hwanga, Inchang; Xu, Simon; In, Francis - In: European journal of operational research : EJOR 265 (2018) 1, pp. 372-388

Persistent link: https://www.econbiz.de/10011805506

The effect of diversification on tail risk : evidence from US equity mutual fund portfolios

Xu, Simon; Hwang, Inchang; In, Francis Haeuck - In: International review of finance 16 (2016) 3, pp. 483-495

Persistent link: https://www.econbiz.de/10011713786

Investigating the performance of alternative default-risk models: option-based versus accounting-based approaches

Gharghori, Philip; Chan, Howard; Faff, Robert - In: Australian journal of management 31 (2006) 2, pp. 207-234

Persistent link: https://www.econbiz.de/10003437496

Corporate governance, firm value and risk : past, present, and future

Balachandran, Balasingham; Faff, Robert W. - In: Pacific-Basin finance journal 35 (2015) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10011537985

Modelling the risk and return relation conditional on market volatility and market conditions

Galagedera, Don U. A.; Faff, Robert W. - 2004

Persistent link: https://www.econbiz.de/10002121816

Modeling the risk and return relation conditional on markt volatility and market conditions

Galagedera, Don U. A.; Faff, Robert W. - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 75-95

Persistent link: https://www.econbiz.de/10002625219

A simple test of the "risk class hypothesis"

Faff, Robert W.; Brooks, Robert; Kee, H. Y. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 29 (2005) 1, pp. 83-96

Persistent link: https://www.econbiz.de/10002743375

Financial deregulation and relative risk of Australian industry

Brooks, Robert - In: Australian economic papers 36 (1997) 69, pp. 308-320

Persistent link: https://www.econbiz.de/10001239138