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CAPM-anomalies : quantitative puzzles

Elmiger, Sabine - In: Economic theory : official journal of the Society for … 68 (2019) 3, pp. 643-667

Persistent link: https://www.econbiz.de/10012213098

Conditional asset pricing in international equity markets

Huynh, Thanh D. - In: International review of economics & finance : IREF 49 (2017), pp. 168-189

Persistent link: https://www.econbiz.de/10011748394

The time-varying risk price of currency portfolios

Byrne, Joseph P.; Ibrahim, Boulis Maher; Sakemoto, Ryuta - In: Journal of international money and finance 124 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013435240

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …

Persistent link: https://www.econbiz.de/10012872607

Notes on Fano ratio and portfolio optimization

Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 5 (2018) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10012229128

Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012489163

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

Persistent link: https://www.econbiz.de/10012175486

Asset pricing anomalies : liquidity risk hedgers or liquidity risk spreaders?

Virk, Nader Shahzad; Butt, Hilal Anwar - In: International review of financial analysis 81 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013410674

Asset pricing and default risk

Breig, Christoph - 2011

Persistent link: https://www.econbiz.de/10008779050

The neglect effect in security beta estimates - an observation of the US stock market from 1933 until 2016

Scheler, Fabian; Ecker, Frank; Werner, Jan - 2017

Persistent link: https://www.econbiz.de/10011921132