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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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Estimation of multivariate asset models with jumps
Ballotta, Laura; Fusai, Gianluca; Loregian, Angela; … - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 5, pp. 2053-2083
Persistent link: https://www.econbiz.de/10012140059
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Some properties of portfolios constructed from principal components of asset returns
Severini, Thomas A. - In: Annals of finance 18 (2022) 4, pp. 457-483
Persistent link: https://www.econbiz.de/10013489455
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Anomaly Predictability with the Mean-Variance Portfolio
Favero, Carlo A.; Melone, Alessandro; Tamoni, Andrea - 2023
According to no-arbitrage, risk-adjusted returns should be unpredictable. Using several prominent factor models and a large cross-section of anomalies, we find that past pricing errors predict future risk-adjusted anomaly returns. We show that past pricing errors can be interpreted as deviations...
Persistent link: https://www.econbiz.de/10014348676
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Winners from winners : a tale of risk factors
Chib, Siddhartha; Zhao, Lingxiao; Zhou, Guofu - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 396-414
Persistent link: https://www.econbiz.de/10014470017
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RIM-based value premium and factor pricing using value-price divergence
Cong, Lin William; George, Nathan Darden; Wang, Guojun - In: Journal of banking & finance 149 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014462562
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Statistical arbitrage : factor investing approach
Akyildirim, Erdinc; Goncu, Ahmet; Hekimoglu, Alper; … - In: OR spectrum : quantitative approaches in management 45 (2023) 4, pp. 1295-1331
Persistent link: https://www.econbiz.de/10014519079
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An enhanced factor model for portfolio selection in high dimensions
Shi, Fangquan; Shu, Lianjie; Gu, Xinhua - In: Journal of financial econometrics 22 (2024) 1, pp. 94-118
Persistent link: https://www.econbiz.de/10014526307
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Spectral factor models
Bandi, Federico M.; Chaudhuri, Shomesh E.; Lo, Andrew W.; … - In: Journal of financial economics 142 (2021) 1, pp. 214-238
Persistent link: https://www.econbiz.de/10012650703
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A factor model for Cryptocurrency returns
Bianchi, Daniele; Babiak, Mykola - 2021
Persistent link: https://www.econbiz.de/10012792799