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Essays on stock momentum and asset liquidity
Sadka, Ronnie - 2003
Persistent link: https://www.econbiz.de/10003624563
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Aggregate risk, asset prices, and international portfolio diversification
Julliard, Christian - 2005
Persistent link: https://www.econbiz.de/10003380227
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An empirical investigation of the book-to-market and size effects
Petkova, Ralitsa - 2003
Persistent link: https://www.econbiz.de/10003385465
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Three essays on asset pricing and portfolio allocation
Zhang, Zhe - 2004
Persistent link: https://www.econbiz.de/10003387672
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Three essays on asset pricing anomalies, investor overreaction, and mutual fund performance
Zhang, Hong - 2004
Persistent link: https://www.econbiz.de/10003551684
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Predicting returns in US treasuries : do tents matter?
Rebonato, Riccardo - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-13
Persistent link: https://www.econbiz.de/10011957124
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The impact of transaction costs in portfolio optimization : a comparative analysis between the cost of trading in Peru and the United States
Chavalle, Luc; Chávez-Bedoya, Luis - In: Journal of economics, finance & administrative science 24 (2019) 48, pp. 288-311
Purpose This paper aims to analyze the impact of transaction costs in portfolio optimization in Peru. The study aims to compare the transaction costs structure applied in Peru with respect to the ones applied in the USA, and over a few dimensions. Design/methodology/approach The paper opted for...
Persistent link: https://www.econbiz.de/10012128936
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The price of correlation risk : evidence from equity options
Driessen, Joost; Maenhout, Pascal J.; Vilkov, Grigory - In: The journal of finance : the journal of the American … 64 (2009) 3, pp. 1377-1406
Persistent link: https://www.econbiz.de/10003871954
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Are momentum profits robust to trading costs?
Korajczyk, Robert A.; Sadka, Ronnie - In: The journal of finance : the journal of the American … 59 (2004) 3, pp. 1039-1082
Persistent link: https://www.econbiz.de/10002094331
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Large scale mean-variance strategies in the U.S. stock market
Pezzo, Luca; Wang, Lei; Zirek, Duygu - In: Research in international business and finance 66 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014462513