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The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors

Murtazashvili, Irina; Vozlyublennaia, Nadia - In: Journal of banking & finance 36 (2012) 4, pp. 1057-1066

Persistent link: https://www.econbiz.de/10009557825

The role of data limitations, seasonality and frequency in asset pricing models

Murtazashvili, Irina; Vozlyublennaia, Nadia - In: Journal of international financial markets, … 22 (2012) 3, pp. 555-574

Persistent link: https://www.econbiz.de/10009623546

When do characteristics-sorted factors mechanically explain returns?

Murtazashvili, Irina; Vozlyublennaia, Nadia - In: Journal of international financial markets, … 25 (2013), pp. 119-143

Persistent link: https://www.econbiz.de/10009762798

Mutual Funds Apart from the Crowd

Vozlyublennaia, Nadia - 2018

We construct measures of mutual fund uniqueness using cluster analysis of fund returns. We find that fund uniqueness persists over time, and is higher for more actively managed funds. More unique funds charge higher fees, but they do not deliver better net-of-fee performance. Fund uniqueness...

Persistent link: https://www.econbiz.de/10012936227

Limits to mutual funds' ability to rely on mean/variance optimization

Karagiannidis, Iordanis; Vozlyublennaia, Nadia - In: Journal of empirical finance 37 (2016), pp. 282-292

Persistent link: https://www.econbiz.de/10011663061

DIVERSIFICATION STRATEGIES: DO LIMITED DATA CONSTRAIN INVESTORS?

Murtazashvili, Irina; Vozlyublennaia, Nadia - In: Journal of Financial Research 36 (2013) 2, pp. 215-232

Persistent link: https://www.econbiz.de/10010722053

Diversification strategies : do limited data constrain inverstors?

Murtazashvili, Irina; Vozlyublennaia, Nadia - In: The journal of financial research 36 (2013) 2, pp. 215-232

Persistent link: https://www.econbiz.de/10009783109

The role of data limitations, seasonality and frequency in asset pricing models

Murtazashvili, Irina; Vozlyublennaia, Nadia - In: Journal of international financial markets, … 22 (2012) 3, pp. 555-575

Persistent link: https://www.econbiz.de/10009974504

Does Idiosyncratic Risk Matter for Individual Securities?

Vozlyublennaia, Nadia - In: Financial management 41 (2012) 3, pp. 555-591

Persistent link: https://www.econbiz.de/10010017631

DIVERSIFICATION STRATEGIES: DO LIMITED DATA CONSTRAIN INVESTORS?

Murtazashvili, Irina; Vozlyublennaia, Nadia - In: The journal of financial research : a publ. of the … 36 (2013) 2, pp. 215-232

Persistent link: https://www.econbiz.de/10010135793

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