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Are the profitability and investment factors valid ICAPM risk factors? : pre-1963 evidence
Lin, Qi; Lin, Xi - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013186489
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Multifactor models and their consistency with the ICAPM
Maio, Paulo; Santa-Clara, Pedro - In: Journal of financial economics 106 (2012) 3, pp. 586-613
Persistent link: https://www.econbiz.de/10009710158
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Return decomposition and the Intertemporal CAPM
Maio, Paulo - In: Journal of banking & finance 37 (2013) 12, pp. 4958-4972
Persistent link: https://www.econbiz.de/10010341875
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The short duration premium
Gonçalves, Andrei S. - In: Journal of financial economics 141 (2021) 3, pp. 919-945
Persistent link: https://www.econbiz.de/10012873075
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Appropriate expected return and the relationship with risk
Panutat Maneemaroj; Ravi Lonkani; Chanon Chingchayanurak - In: Global business review 22 (2021) 4, pp. 865-878
Persistent link: https://www.econbiz.de/10012591567
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Time-varying state variable risk premia in the ICAPM
Barroso, Pedro; Boons, Martijn; Karehnke, Paul - In: Journal of financial economics 139 (2021) 2, pp. 428-451
Persistent link: https://www.econbiz.de/10012693673
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Incomplete information, idiosyncratic volatility and stock returns
Berrada, Tony; Hugonnier, Julien - In: Journal of banking & finance 37 (2013) 2, pp. 448-462
Persistent link: https://www.econbiz.de/10009705642
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Excess volatility and the cross-section of stock returns
Wang, Yuming; Ma, Jinpeng - In: The North American journal of economics and finance : a … 27 (2014), pp. 1-16
Persistent link: https://www.econbiz.de/10010460922
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Nominal rigidities, asset returns, and monetary policy
Li, Erica X. N.; Palomino, Francisco - In: Journal of monetary economics 66 (2014), pp. 210-225
Persistent link: https://www.econbiz.de/10010482349
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New Evidence on Conditional Factor Models
Cooper, Ilan - 2018
We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies …
Persistent link: https://www.econbiz.de/10012937406