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Beware of the crash risk : tail beta and the cross-section of stock returns in China

Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Applied economics 51 (2019) 44, pp. 4870-4881

Persistent link: https://www.econbiz.de/10012197122

ß in the tails

Bandi, Federico M.; Renò, Roberto - In: Journal of econometrics 227 (2022) 1, pp. 134-150

Persistent link: https://www.econbiz.de/10013441641

Cross-sectional regression of returns on betas and portfolio grouping procedures

Hur, Jungshik; Kumar, Raman; Vivek Singh - In: International journal of business and systems research 8 (2014) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10010423288

Analysing assets' performance inside a portfolio : from crossed beta to the net risk premium ratio

Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-23

This paper is focused on enlarging the performance inside a portfolio that provides the Treynor ratio by relating portfolio weights with performance indicators. Intuition suggests that the higher the weight of an asset, the higher should be its expected performance. These weights, and the...

Persistent link: https://www.econbiz.de/10011877322

Beta dispersion and portfolio returns

Lahtinen, Kyre Dane; Lawrey, Chris M.; Hunsader, Kenneth J. - In: The journal of asset management 19 (2018) 3, pp. 156-161

Persistent link: https://www.econbiz.de/10011847744

Testing conditional factor models

Ang, Andrew; Kristensen, Dennis - In: Journal of financial economics 106 (2012) 1, pp. 132-156

Persistent link: https://www.econbiz.de/10009666667

Systematic risk and the cross section of hedge fund returns

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131

Persistent link: https://www.econbiz.de/10009666668

What drives the value premium? : risk versus mispricing ; evidence from international markets

Chaves, Denis B.; Hsu, Jason C.; Kalesnik, Vitali; … - In: Journal of investment management : JOIM 11 (2013) 4, pp. 22-39

Persistent link: https://www.econbiz.de/10010357098

Investing with style

Asness, Cliff; Ilmanen, Antti; Israel, Ronen; … - In: Journal of investment management : JOIM 13 (2015) 1, pp. 27-63

Persistent link: https://www.econbiz.de/10011635183

Leverage, default risk, and the cross-section of equity and firm returns

Hood, Frederick M. - In: Modern economy 7 (2016) 14, pp. 1610-1639

Persistent link: https://www.econbiz.de/10011647971