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Novy-Marx, Robert - 2014

Persistent link: https://www.econbiz.de/10010431331

Novy-Marx, Robert - 2014

the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy …High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the …

Persistent link: https://www.econbiz.de/10012458074

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

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

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

Can CRRA preferences explain CAPM-anomalies in the cross-section of stock returns?

Elmiger, Sabine - 2013

Persistent link: https://www.econbiz.de/10010256374

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

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

Downside risk in the oil market : does it affect stock returns in China?

Su, Zhi; Mo, Xuan; Yin, Libo - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 11, pp. 3139-3152

Persistent link: https://www.econbiz.de/10012607465

In search of cushion? : crash aversion and the cross-section of expected stock returns worldwide

Weigert, Florian - 2013 - This version: March 2013

Persistent link: https://www.econbiz.de/10010410456

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