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Climate policy uncertainty and the cross-section of stock returns
Sirimon Treepongkaruna; Chan, Kam Fong; Malik, Ihtisham - In: Finance research letters 55 (2023) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10014473012
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Asymmetric beta comovement and systematic downside risk
Jondeau, Eric; Zhang, Qunzi - 2014
"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …
Persistent link: https://www.econbiz.de/10010442899
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Is economic uncertainty priced in the cross-section of stock returns?
Bali, Turan G.; Brown, Stephen J.; Tang, Yi - In: Journal of financial economics 126 (2017) 3, pp. 471-489
Persistent link: https://www.econbiz.de/10011818201
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Economic uncertainty and Australian stock returns
Chen, Xiaoyue; Li, Bin; Worthington, Andrew Charles - In: Accounting and finance 62 (2022) 3, pp. 3441-3474
Persistent link: https://www.econbiz.de/10013468220
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Pro-cyclical effect of sovereign rating changes on stock returns : a fact or factoid?
Riaz, Yasir; Shehzad, Choudhry Tanveer; Umar, Zaghum - In: Applied economics 51 (2019) 15, pp. 1588-1601
Persistent link: https://www.econbiz.de/10012196579
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Yes, CAPM is dead
Lai, Tsong-yue; Stohs, Mark Hoven - In: International journal of business 20 (2015) 2, pp. 144-158
Persistent link: https://www.econbiz.de/10011286487
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Systematic risk changes, negative realized excess returns and time-varying CAPM beta
Novák, Jiri - In: Finance a úvěr 65 (2015) 2, pp. 167-190
Persistent link: https://www.econbiz.de/10010504700
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Beta Matrix and Common Factors in Stock Returns
Ahn, Seung C. - 2020
We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which … many models fails to have full column rank, suggesting that risk premiums in these models are under-identified …
Persistent link: https://www.econbiz.de/10012857585
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Beta matrix and common factors in stock returns
Ahn, Seung Chan; Horenstein, Alex R.; Wang, Na - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 3, pp. 1417-1440
Persistent link: https://www.econbiz.de/10011930424
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Factor beta, overnight and intraday expected returns in China
Ye, Zhengke; Jiang, Danling; Luo, Yunfeng - In: Global finance journal 56 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014478880