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R 2 and idiosyncratic risk are not interchangeable
Li, Bin; Rajgopal, Shivaram; Venkatachalam, Mohan - In: The accounting review : a publication of the American … 89 (2014) 6, pp. 2261-2295
Persistent link: https://www.econbiz.de/10010469131
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Idiosyncratic risk and when to tilt toward value
Fink, Jason D.; Fink, Kristin E. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 76-89
Persistent link: https://www.econbiz.de/10012814367
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Volume determination in stock and stock index futures markets : an analysis of arbitrage and volatility effects
Merrick, John J. - 1987
Persistent link: https://www.econbiz.de/10000741962
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Covered interest arbitrage and market turbulence : an empiric. analysis
Taylor, Mark P. - 1988
Persistent link: https://www.econbiz.de/10000747918
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Goods market arbitrage and real exchange rate volatility
Yi, In-gu - In: Journal of macroeconomics 30 (2008) 3, pp. 1029-1042
Persistent link: https://www.econbiz.de/10003781849
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Asset pricing with arbitrage activity
Hugonnier, Julien; Prieto, Rodolfo - In: Journal of financial economics 115 (2015) 2, pp. 411-428
Persistent link: https://www.econbiz.de/10011347464
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Inside volatility filtering : the secrets of skewness
Javaheri, Alireza - 2015 - 2. ed.
Persistent link: https://www.econbiz.de/10011347625
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Asset pricing with arbitrage activity
Hugonnier, Julien; Prieto, Rodolfo - 2013
arbitrage opportunities that emerge endogenously in reaction to the portfolio imbalance generated by constrained agents. The … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …
Persistent link: https://www.econbiz.de/10010257492
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The limits to arbitrage and the low-volatility anomaly
Li, Xi; Sullivan, Rodney N.; Garcia-Feijóo, Luis - In: Financial analysts' journal : FAJ 70 (2014) 1, pp. 52-63
Persistent link: https://www.econbiz.de/10010253409
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Short-term relative arbitrage in volatility-stabilized markets
Banner, Adrian D.; Fernholz, Daniel - In: Annals of finance 4 (2008) 4, pp. 445-454
Persistent link: https://www.econbiz.de/10003737199