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Additions to market indices and the comovement of stock returns around the world
Claessens, Stijn; Yāfe, Yišay - 2008
Persistent link: https://www.econbiz.de/10003785795
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Additions to Market Indices and the Comovement of Stock Returns Around the World
Claessens, Stijn - 2011
main index, firms' returns experience an increase in comovement with the rest of the index, reflected in higher beta and … Wurgler, 2005) to provide a good explanation for many of our findings. Some results, though, suggest that information …
Persistent link: https://www.econbiz.de/10013128776
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Additions to Market Indices and the Comovement of Stock Returns Around the World
Yafeh, Yishay - 2011
main index, firms’ returns experience an increase in comovement with the rest of the index, reflected in higher beta and … Wurgler, 2005) to provide a good explanation for many of our findings. Some results, though, suggest that information …
Persistent link: https://www.econbiz.de/10014402208
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Downside Beta and Equity Returns around the World
Atilgan, Yigit - 2019
We investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain the cross-sectional differences in future and...
Persistent link: https://www.econbiz.de/10012903218
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Downside risk of international stock returns
Galsband, Victoria - In: Journal of banking & finance 36 (2012) 8, pp. 2379-2388
Persistent link: https://www.econbiz.de/10009656247
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Strategies can be expensive too! The value spread and asset allocation in global equity markets
Zaremba, Adam; Umutlu, Mehmet - In: Applied economics 50 (2018) 60, pp. 6529-6546
Persistent link: https://www.econbiz.de/10012063443
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Downside beta and equity returns around the world
Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: The journal of portfolio management : a publication of … 44 (2018) 7, pp. 39-54
Persistent link: https://www.econbiz.de/10012260362
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Does downside risk matter more in asset pricing? : evidence from China
Ali, Heba - In: Emerging markets review 39 (2019), pp. 154-174
Persistent link: https://www.econbiz.de/10012313110
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Does a search attention index explain portfolio returns in India?
Dharani, M.; Hassan, M. Kabir; Abedin, Mohammad Zoynul; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 226-239
Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI …
Persistent link: https://www.econbiz.de/10013183936
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Comparing dynamic and static performance indexes in the stock market : evidence from Japan
Hodoshima, Jiro; Yamawake, Toshiyuki - In: Asia Pacific financial markets 29 (2022) 2, pp. 171-193
Persistent link: https://www.econbiz.de/10013260054