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Does Aggregate Uncertainty Explain Size and Value Anomalies?

Aboura, Sofiane - 2019

Following seminal works of Knight (1921) and Ellsberg (1961), we distinguish uncertainty from risk and examine the … for aggregate uncertainty and controlling for market risk, volatility risk, correlation risk, and the variance risk …

Persistent link: https://www.econbiz.de/10012904720

The predictability of future aggregate earnings growth and the relation between aggregate analyst recommendation changes and future returns

Billings, Bruce K.; Keskek, Sami; Pierce, Spencer - In: The accounting review : a publication of the American … 96 (2021) 1, pp. 41-66

Persistent link: https://www.econbiz.de/10012439360

Pricing of risk and volatility dynamics on an emerging stock market : evidence from both aggregate and disaggregate data

Khan, Faisal; Ur Rehman, Saif; Khan, Hashim; Xu, Tie - In: Economic research 29 (2016) 1, pp. 799-815

Persistent link: https://www.econbiz.de/10012222011

A modified Corrado test for assessing abnormal security returns

Ataullah, Ali; Song, Xiaojing; Tippett, Mark - In: The European journal of finance 17 (2011) 7/8, pp. 589-601

Persistent link: https://www.econbiz.de/10009509842

Beta Matrix and Common Factors in Stock Returns

Ahn, Seung C. - 2020

many models fails to have full column rank, suggesting that risk premiums in these models are under-identified …We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which …

Persistent link: https://www.econbiz.de/10012857585