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The Fama-French five-factor model plus momentum : evidence for the german market

Dirkx, Philipp; Peter, Franziska Julia - In: Schmalenbach business review : sbr 72 (2020) 4, pp. 661-684

Persistent link: https://www.econbiz.de/10012429762

Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682

We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...

Persistent link: https://www.econbiz.de/10012598456

Breaking bad trends

Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, … - In: Financial analysts journal : FAJ 80 (2024) 1, pp. 84-98

Persistent link: https://www.econbiz.de/10014576152

Equity market anomalies, VIX and asset pricing : trading strategies for India

Pandey, Asheesh - In: The Indian economic journal 67 (2019) 3/4, pp. 279-298

Persistent link: https://www.econbiz.de/10012390853

Isolating momentum crashes

Dierkes, Maik; Krupski, Jan - In: Journal of empirical finance 66 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013370567

Belief dispersion and convex cost of adjustment in the stock market and in the real economy

Jouini, Elyès - In: Management science : journal of the Institute for … 69 (2023) 7, pp. 4190-4209

Persistent link: https://www.econbiz.de/10014338339

Has idiosyncratic volatility increased? : not in recent times

Chiah, Mardy; Gharghori, Philip; Zhong, Angel - In: Critical finance review 12 (2023) 1/4, pp. 125-170

Persistent link: https://www.econbiz.de/10014370371

Taming momentum crashes

Bianchi, Daniele; De Polis, Andrea; Petrella, Ivan - 2024

Persistent link: https://www.econbiz.de/10014529581

Abnormal returns and idiosyncratic volatility puzzle : an empirical investigation in Vietnam stock market

Xuan Vinh Vo; Van Phong Vo; Thanh Phuc Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-25

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and … residuals estimated from regression based on capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four … prospect theory. This paper also suggests IVOL opposite strategy for investors to generate significant returns by collecting …

Persistent link: https://www.econbiz.de/10012219258

The intraday heterogeneity and risk pricing reversal between day and night : evidence from China

Zhang, Lu; Zhang, Hao - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 10, pp. 2237-2260

Persistent link: https://www.econbiz.de/10015049707