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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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Investor sentiment, limited arbitrage, and the cash holding effect
Li, Xiafei; Luo, Di - In: Review of finance : journal of the European Finance … 21 (2017) 6, pp. 2141-2168
Persistent link: https://www.econbiz.de/10011804685
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Investor sentiment and interest rate volatility smile : evidence from Eurodollar options markets
Chen, Cathy Yi-Hsuan; Kuo, I.-doun - In: Review of quantitative finance and accounting 43 (2014) 2, pp. 367-391
Persistent link: https://www.econbiz.de/10010490403
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Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies
Ding, Wenjie; Mazouz, Khelifa; Wang, Qingwei - In: Journal of empirical finance 63 (2021), pp. 42-56
Persistent link: https://www.econbiz.de/10013258724
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On the time-varying dynamics of stock and commodity momentum returns
Stadtmüller, Immo; Auer, Benjamin R.; Schuhmacher, Frank - In: Finance research letters 46 (2022) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10013341591
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Consumer confidence or the business cycle : what matters more for European expected returns?
Møller, Stig Vinther; Nørholm, Henrik; Rangvid, Jesper - In: Journal of empirical finance 28 (2014), pp. 230-248
Persistent link: https://www.econbiz.de/10011285064
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Leveraged ETF options implied volatility paradox : a statistical study
Härdle, Wolfgang; Nasekin, Sergey; Hong, Zhiwu - 2016
, even after moneyness scaling has been performed. This presents possible arbitrage opportunities on the (L)ETF market which … can be exploited by traders. We build possible arbitrage strategies by constructing portfolios with LETF shares and …
Persistent link: https://www.econbiz.de/10011437891
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A study of Bitcoin-based intraday volatility forecasting for cross-market spreads
Yang, Longguang; Hou, Fengshuang; Shi, Huihong - In: Emerging markets, finance and trade : EMFT 59 (2023) 14, pp. 3941-3951
Persistent link: https://www.econbiz.de/10014419375
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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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Pricing options with vanishing stochastic volatility
Mastroeni, Loretta - In: Risks : open access journal 10 (2022) 9, pp. 1-16
in discrete space and continuous time. The market described allows fleeting arbitrage opportunities, since a vanishing …
Persistent link: https://www.econbiz.de/10013368982