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Long-term stock returns in Brazil : volatile equity returns for U.S.-like investors

Araujo, Eurilton; Brito, Ricardo D.; Sanvicente, Antonion Z. - 2020 - This version: March 30th, 2020

Persistent link: https://www.econbiz.de/10012243420

Does idiosyncratic volatility predict future growth of the Australian economy?

Liu, Bin; Di Iorio, Amalia - In: Studies in economics and finance 33 (2016) 1, pp. 69-90

Persistent link: https://www.econbiz.de/10011718726

Individual mean-variance relation and stock-level investor sentiment

Kim, Jun Sik; Kim, Da-Hea; Seo, Sung Won - In: Journal of business economics and management 18 (2017) 1, pp. 20-34

Persistent link: https://www.econbiz.de/10011721640

Three-factor model of asset pricing : empirical evidence from the Indian stock market

Anwar, Mobin; Kumar, Sanjay - In: The IUP journal of applied finance : IJAF 24 (2018) 3, pp. 16-34

Persistent link: https://www.econbiz.de/10011983170

Covariance forecasting in equity markets

Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168

Persistent link: https://www.econbiz.de/10011967197

Idiosyncratic volatility in the Australian equity market

Zhong, Angel - In: Pacific-Basin finance journal 50 (2018), pp. 105-125

Persistent link: https://www.econbiz.de/10012033763

BM(book-to-market ratio) factor : medium-term momentum and long-term reversal

Wei-qi, Liu; Jingxing, Zhang - In: Financial innovation : FIN 4 (2018) 1, pp. 1-29

To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM … model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock … market anomalies, we obtain an anomaly interpretative model. This study shows that this anomaly interpretative model can …

Persistent link: https://www.econbiz.de/10011825744

Patterns and pricing of idiosyncratic volatility in the French stock market

Liu, Zhentao; Nartea, Gilbert V.; Wu, Ji - In: Theoretical economics letters 8 (2018) 1, pp. 79-97

Persistent link: https://www.econbiz.de/10011842086

Determinants of idiosyncratic volatility : evidence from the Indian stock market

Kumari, Jyoti; Mahakud, Jitendra; Hiremath, Gourishankar S. - In: Research in international business and finance 41 (2017), pp. 172-184

Persistent link: https://www.econbiz.de/10011912999

Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market : evidence from different data frequencies

Liu, Jingzhen - In: Research in international business and finance 48 (2019), pp. 243-257

Persistent link: https://www.econbiz.de/10012135907