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Downside risks and the cross-section of asset returns
Farago, Adam; Tédongap, Roméo - In: Journal of financial economics 129 (2018) 1, pp. 69-86
Persistent link: https://www.econbiz.de/10011981218
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The downside risk and equity evaluation : emerging market evidence
Chen, Jianguo; Chen, Dar-hsin - In: Journal of emerging market finance 3 (2004) 1, pp. 77-93
Persistent link: https://www.econbiz.de/10002073289
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Systematic risk and the cross section of hedge fund returns
Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131
Persistent link: https://www.econbiz.de/10009666668
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Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique
Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490
Persistent link: https://www.econbiz.de/10012798425
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Constructing inverse factor volatility portfolios: a risk-based asset allocation for factor investing
Shimizu, Hidehiko; Shiohama, Takayuki - In: International review of financial analysis 68 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012300934
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Conditional skewness in asset pricing : 25 years of out-of-sample evidence
Harvey, Campbell R.; Siddique, Akhtar R. - In: Critical finance review 12 (2023) 1/4, pp. 355-366
Persistent link: https://www.econbiz.de/10014370380
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Is macroeconomic tail risk contagious to stock idiosyncratic risk?
Yao, Shouyu; Liu, Zezhong; Wang, Chunfeng; Palma, Alessia; … - In: Finance research letters 63 (2024), pp. 1-5
Persistent link: https://www.econbiz.de/10014531317
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Capital share risk and shareholder heterogeneity in US stock pricing
Lettau, Martin; Ludvigson, Sydney C.; Ma, Sai - 2014
Persistent link: https://www.econbiz.de/10010467583
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Capital share risk and shareholder heterogeneity in US stock pricing
Lettau, Martin; Ludvigson, Sydney C.; Ma, Sai - 2015
Persistent link: https://www.econbiz.de/10010482973
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Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2014
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...
Persistent link: https://www.econbiz.de/10013040236