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The effects of local and global risk factors on the S&P 500 stock returns : an empirical investigation
Elhusseiny, Mahdy F.; Islam, Mazhar M. - In: American journal of finance and accounting 1 (2008/09) 1, pp. 87-101
Persistent link: https://www.econbiz.de/10003773994
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An analysis of the distribution of extremes in indices of share returns in the US, UK and Japan from 1963 to 2000
Gettinby, G. D.; Sinclair, C. Donald; Power, David M.; … - In: International journal of finance & economics : IJFE 11 (2006) 2, pp. 97-113
Persistent link: https://www.econbiz.de/10003322571
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On Russell index reconstitution
Chen, Hsiu-lang - In: Review of quantitative finance and accounting 26 (2006) 4, pp. 409-430
Persistent link: https://www.econbiz.de/10003322945
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Volatility relationship between stock performance and real output
Ahn, Eun S.; Lee, Jin Man - In: Applied financial economics 16 (2006) 11, pp. 777-784
Persistent link: https://www.econbiz.de/10003350994
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A multivariate nonparametric test for return and volatility timing
Marquering, Wessel A.; Verbeek, Marno - In: Finance research letters 1 (2004) 4, pp. 250-260
Persistent link: https://www.econbiz.de/10003307431
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Stock returns, implied volatility innovations, and the asymmetric volatility phenomenon
Dennis, Patrick; Mayhew, Stewart; Stivers, Christopher T. - In: Journal of financial and quantitative analysis : JFQA 41 (2006) 2, pp. 381-406
Persistent link: https://www.econbiz.de/10003331899
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Seasonal, size and value anomalies
Jacobsen, Ben; Mamun, Abdullah al; Visaltanachoti, Nuttawat - 2005
Persistent link: https://www.econbiz.de/10003332070
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US equity benchmarks - broad-cap, size, and style indexes : slicing and dicing the US equity market
Platt, Gardner; Pope, Brad; Rakvin, Chad - In: Active index investing : maximizing portfolio …, (pp. 118-137). 2004
Persistent link: https://www.econbiz.de/10003333490
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The friday effect in European securitized real estate index returns
Lenkkeri, Veera; Marquering, Wessel A.; … - In: The journal of real estate finance and economics 33 (2006) 1, pp. 31-50
Persistent link: https://www.econbiz.de/10003333538
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Dependence patterns across financial markets : a mixed copula approach
Hu, Ling - In: Applied financial economics 16 (2006) 10, pp. 717-729
Persistent link: https://www.econbiz.de/10003334985