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Alpha, downside risk and portfolio construction : efficient implementation in quantitative strategies

Linzmeier, Daniel - 2013

Persistent link: https://www.econbiz.de/10009749494

Die moderne Portfoliotheorie im praktischen Wertpapiermanagement : eine theoretische und empirische Analyse aus der Sicht privater Anleger

Schmidt- von Rhein, Andreas - 2004

Persistent link: https://www.econbiz.de/10002521934

In search of cushion? : crash aversion and the cross-section of expected stock returns worldwide

Weigert, Florian - 2013 - This version: March 2013

Persistent link: https://www.econbiz.de/10010410456

Global downside risk and equity returns

Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: Journal of international money and finance 98 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012140071

Tracking investor gambling intensity

Zhu, Hongbing; Yang, Lihua; Xu, Changxin - In: International review of financial analysis 86 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014248291

The cross-section of investment and profitability : implications for asset pricing

Kilic, Mete; Yang, Louis; Zhang, Miao Ben - In: Journal of financial economics 145 (2022) 3, pp. 706-724

Persistent link: https://www.econbiz.de/10013475434

Does beta explain global equity market volatility : some empirical evidence

Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66

country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

Persistent link: https://www.econbiz.de/10009770247

Jointly estimating jump beats

Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148

Persistent link: https://www.econbiz.de/10010337468

Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

Persistent link: https://www.econbiz.de/10011506397

Agency-based asset pricing and the beta anomaly

Blitz, David - In: European financial management : the journal of the … 20 (2014) 4, pp. 770-801

Persistent link: https://www.econbiz.de/10010503540