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The critical role of conditioning information in determining if value is really riskier than growth

Cooper, Michael J.; Gubellini, Stefano - In: Journal of empirical finance 18 (2011) 2, pp. 289-305

Persistent link: https://www.econbiz.de/10009301119

Testing conditional factor models : a nonparametric approach

Li, Yan; Yang, Liyan - In: Journal of empirical finance 18 (2011) 5, pp. 972-992

Persistent link: https://www.econbiz.de/10009492521

Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model

Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119

Persistent link: https://www.econbiz.de/10011333691

A higher moment Downside framework for conditional and unconditional CAPM in the Russian stock market

Teplova, Tamara V.; Shutova, Evgeniya - In: Eurasian economic review : a journal of the Eurasia … 1 (2011) 2, pp. 157-178

Persistent link: https://www.econbiz.de/10010340015

Market proxies as factors in linear asset pricing models : still living with the roll critique

Prono, Todd - In: Journal of empirical finance 31 (2015), pp. 36-53

Persistent link: https://www.econbiz.de/10011489332

Aggregate volatility expectations and threshold CAPM

Arisoy, Yakup Eser; Altay-Salih, Aslihan; Akdeniz, Levent - In: The North American journal of economics and finance : a … 34 (2015), pp. 231-253

Persistent link: https://www.econbiz.de/10011539964

Conditioning information and cross-sectional anomalies

Gubellini, Stefano - In: Review of quantitative finance and accounting 43 (2014) 3, pp. 529-569

Persistent link: https://www.econbiz.de/10010490371

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. Using conditioning information associated with different instruments improves the performance of the Hou, Xue, and Zhang (2015, HXZ) and Fama and French (2015, 2016, FF) models. The...

Persistent link: https://www.econbiz.de/10012937406

Term structure of discount rates for firms in the insurance industry

Giaccotto, Carmelo; Lin, Xiao; Zhao, Yanhui - In: Insurance / Mathematics & economics 95 (2020), pp. 147-158

Persistent link: https://www.econbiz.de/10012419275

Observable implications of the conditional CAPM

Souza, Thiago de Oliveira - 2020

Persistent link: https://www.econbiz.de/10012383870