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Anginer, Deniz; Ray, Sugata; Seyhun, H. Nejat; Xu, Luqi - In: Journal of empirical finance 75 (2024), pp. 1-25

Persistent link: https://www.econbiz.de/10014474374

Ruenzi, Stefan; Weigert, Florian - 2017 - This version: December 2017

the USA from 1963 to 2012 reduces the momentum effect from a highly statistically significant 11.94% to an insignificant 1 …This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum ….84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 …

Persistent link: https://www.econbiz.de/10011906204

Brand capital and firm value

Belo, Frederico; Lin, Xiaoji; Vitorino, Maria Ana - In: Review of economic dynamics 17 (2014) 1, pp. 150-169

Persistent link: https://www.econbiz.de/10010378881

Market frictions and momentum premium : does stock mispricing matter? : evidence from China

Tarek, Amira; Ali, Heba; Mohamed, Ehab K. A. - In: The journal of corporate accounting & finance 35 (2024) 2, pp. 50-77

Persistent link: https://www.econbiz.de/10014535527

Inflation risk and the cross section of stock returns

Duarte, Fernando M. - 2013

I establish that inflation risk is priced in the cross section of stock returns: Stocks that have low returns during inflationary times command a risk premium. I estimate a market price of inflation risk that is comparable in magnitude to the price of risk for the aggregate market. Inflation is...

Persistent link: https://www.econbiz.de/10009752802

Idiosyncratic risk and expected returns in frontier markets : evidence from GCC

Bley, Jorg; Saad, Mohsen M. - In: Journal of international financial markets, … 22 (2012) 3, pp. 538-554

Persistent link: https://www.econbiz.de/10009623547

Dissecting sources of price momentum : evidence from India

Sehgal, Sanjay; Jain, Kanu - In: International journal of emerging markets 10 (2015) 4, pp. 801-819

Persistent link: https://www.econbiz.de/10011489451

A forecast evaluation of expected equity return measures

Chin, Michael; Polk, Christopher - 2015

Persistent link: https://www.econbiz.de/10010497568

Nichtlineare Regimewechselmodelle : theoretische und empirische Evidenz am deutschen Kapitalmarkt

Brannolte, Cord - 2002 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001714163

Idiosyncratic Volatility, Its Expected Variation, and the Cross-Section of Stock Returns

Branger, Nicole - 2019

We show that the widely documented negative relation between idiosyncratic volatility (IVOL) and expected returns can be explained by the mean reversion of stocks' idiosyncratic volatilities. We use option-implied information to extract the mean reversion speed of IVOL in an almost model-free...

Persistent link: https://www.econbiz.de/10012901631