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Realized volatility, jump and beta : evidence from Canadian stock market
Gajurel, Dinesh; Chowdhury, Biplob - 2020
Persistent link: https://www.econbiz.de/10012317084
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Stochastic portfolio theory and the low beta anomaly
Agapova, Anna; Ferguson, Robert; Leistikow, Dean - In: The European journal of finance 25 (2019) 5, pp. 415-434
Persistent link: https://www.econbiz.de/10012206986
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The reduced-rank beta in linear stochastic discount factor models
Sun, Yang; Zhang, Xuan; Zhang, Zhekai - In: International review of financial analysis 84 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013472971
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Enhancing betting against beta with stochastic dominance
Kolokolova, Olga; Xu, Xia - In: Journal of empirical finance 76 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10014491900
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Location-Scale Portfolio Selection with Factor-Recentered Skew Normal Asset Returns
Gan, Quan - 2014
formula which nests the CAPM is obtained …
Persistent link: https://www.econbiz.de/10013054884
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Improving asset price prediction when all models are false
Durham, Garland; Geweke, John - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 278-306
Persistent link: https://www.econbiz.de/10010351546
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Location-scale portfolio selection with factor-recentered skew normal asset returns
Quan Gan - In: Journal of economic dynamics & control 48 (2014), pp. 176-187
Persistent link: https://www.econbiz.de/10010486681
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Aggregation of preferences for skewed asset returns
Chabi-Yo, Fousseni; Leisen, Dietmar; Renault, Eric - In: Journal of economic theory 154 (2014), pp. 453-489
Persistent link: https://www.econbiz.de/10010481322
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Can stochastic discount factor models explain the cross-section of equity returns?
Pongrapeeporn Abhakorn; Smith, Peter N.; Wickens, Michael R. - In: Review of financial economics : RFE 28 (2016), pp. 56-68
Persistent link: https://www.econbiz.de/10011579683
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Corporate financing policies, financial leverage, and stock returns
Claassen, Bart; Dam, Lammertjan; Heijnen, Pim - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014486272