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Modelling asset prices for algorithmic and high-frequency trading
Cartea, Álvaro; Jaimungal, Sebastian - In: Applied mathematical finance 20 (2013) 5/6, pp. 512-547
Persistent link: https://www.econbiz.de/10010235563
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Investigating intertrade durations using copulas : an experiment with NASDAQ data
Chakravary, Ranjan R.; Pani, Sudhanshu - In: Algorithmic finance 9 (2022) 3/4, pp. 81-102
Persistent link: https://www.econbiz.de/10013459970
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The reaction of stock market returns to unemployment
Gonzalo, Jesús; Taamouti, Abderrahim - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10011755437
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Tests of the conditional asset pricing model : further evidence from the cross-section of stock returns
Hyde, Stuart; Sherif, Mohamed - In: International journal of finance & economics : IJFE 15 (2010) 2, pp. 198-211
Persistent link: https://www.econbiz.de/10008702351
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Common risk factors and the macroeconomy : new evidence from the Japanese stock market
Bretschger, Lucas; Lechthaler, Filippo - 2012
Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an adequate approach for the Japanese market. The Carhart...
Persistent link: https://www.econbiz.de/10009552906
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The relationship between return, price to earnings ratio, price to book value ratio, size and beta in different data period
Jatmiko, Dadang Prasetyo - In: Investment management and financial innovations 12 (2015) 1, pp. 47-59
Persistent link: https://www.econbiz.de/10010515867
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Cross-sectional return patterns in New Zealand's registered and OTC stock markets
Anderson, Hamish D.; Marshall, Ben R.; Wang, Xiao - In: Pacific accounting review 27 (2015) 1, pp. 51-68
Persistent link: https://www.econbiz.de/10010532569
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The role of shorting, firm size, and time on market anomalies
Israel, Ronen; Moskowitz, Tobias J. - In: Journal of financial economics 108 (2013) 2, pp. 275-301
Persistent link: https://www.econbiz.de/10009749340
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The output gap and stock returns : do cyclical fluctuations predict portfolio returns?
Vivian, Andrew; Wohar, Mark E. - In: International review of financial analysis 26 (2013), pp. 40-50
Persistent link: https://www.econbiz.de/10009717221
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The size effect in value and momentum factors : implications for the cross-section of international stock returns
Atanasov, Victoria; Nitschka, Thomas - 2013
capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform …
Persistent link: https://www.econbiz.de/10010224775