Narrow search
Showing 1 - 10 of 696,382
Cover Image
A tale of two anomalies : higher returns of low-risk stocks and return seasonality
Fiore, Christopher; Saha, Atanu - In: The financial review : the official publication of the … 50 (2015) 2, pp. 257-273
Persistent link: https://www.econbiz.de/10011282741
Cover Image
Is there a low-risk anomaly across countries?
Zaremba, Adam - In: Eurasian economic review : a journal in applied … 6 (2016) 1, pp. 45-65
Persistent link: https://www.econbiz.de/10011441281
Cover Image
Time variation in systematic risk, returns and trading volume : evidence from precious metals mining stocks
Ciner, Cetin - In: International review of financial analysis 41 (2015), pp. 277-283
Persistent link: https://www.econbiz.de/10011508966
Cover Image
Quantile relationships between standard, diffusion and jump betas across Japanese banks
Chowdhury, Biplob; Jeyasreedharan, Nagaratnam; Dungey, … - In: Journal of Asian economics 59 (2018), pp. 29-47
Persistent link: https://www.econbiz.de/10012102893
Cover Image
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
Cover Image
Profitability and low-risk anomalies reexamined
Kohls, Tobias; Mager, Ferdinand - In: Global finance journal 56 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014478979
Cover Image
Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor; Bollerslev, Tim - In: Journal of econometrics 157 (2010) 2, pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
Cover Image
Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model
Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119
Persistent link: https://www.econbiz.de/10011333691
Cover Image
Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
Cover Image
Continuous and jump betas : implications for portfolio diversification
Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15
Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 …
Persistent link: https://www.econbiz.de/10011506397