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Modelling emerging market risk premia using higher moments

Hwang, Soosung; Satchell, Stephen - 1998

Persistent link: https://www.econbiz.de/10000656425

The disappearance of momentum

Hwang, Soosung; Rubesam, Alexandre - In: The European journal of finance 21 (2015) 7/9, pp. 584-607

Persistent link: https://www.econbiz.de/10011301218

Modelling emerging market risk premia using higher moments

Hwang, Soosung; Satchell, Stephen - In: International journal of finance & economics : IJFE 4 (1999) 4, pp. 271-296

Persistent link: https://www.econbiz.de/10001447124

Market risk and the concepts of fundamental volatility : measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial mar...

Hwang, Soosung; Satchell, Stephen - In: Journal of banking & finance 24 (2000) 5, pp. 759-785

Persistent link: https://www.econbiz.de/10001467848

Do Smart Beta ETFs Capture Factor Premiums? A Bayesian Perspective

Rubesam, Alexandre - 2019

We investigate the factor exposure of smart beta ETFs under model uncertainty using Bayesian variable selection. We find that smart beta ETFs have exposures to several factors, including size, value, momentum, quality, volatility/low beta, and dividend yield. The average return contribution of...

Persistent link: https://www.econbiz.de/10012899206