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Variance risk in aggregate stock returns and time-varying return predictability
Pyun, Sungjune - In: Journal of financial economics 132 (2019) 1, pp. 150-174
Persistent link: https://www.econbiz.de/10012134795
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Are standard asset pricing factors long-range dependent?
Auer, Benjamin R. - In: Journal of economics and finance 42 (2018) 1, pp. 66-88
Persistent link: https://www.econbiz.de/10011978140
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Stock price reaction to profit warnings : the role of time-varying betas
Yin, Shuxing; Mazouz, Khelifa; Benamraoui, Abdelfahid; … - In: Review of quantitative finance and accounting 50 (2018) 1, pp. 67-93
Persistent link: https://www.econbiz.de/10011979095
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Assessing systematic risk using time series regression : an evidence from Indian capital market
Prakash R. P.; Yaragol, Prakash Basanna - In: The journal of Institute of Public Enterprise 41 (2018) 3/4, pp. 46-62
Persistent link: https://www.econbiz.de/10012023499
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Quantile relationships between standard, diffusion and jump betas across Japanese banks
Chowdhury, Biplob; Jeyasreedharan, Nagaratnam; Dungey, … - In: Journal of Asian economics 59 (2018), pp. 29-47
Persistent link: https://www.econbiz.de/10012102893
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Low-β investing with mutual funds
Nanigian, David - In: Financial services review : the journal of individual … 23 (2014) 4, pp. 361-383
Persistent link: https://www.econbiz.de/10011392044
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Dynamic conditional beta
Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
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An empirical investigation into the applicability of Fama-French Three Factor Model in explaining portfolio returns : evidence from non-financial firms on the Ghana stock exchange
Acheampong, Prince; Swanzy, Sydney Kwesi - In: International journal of financial research 7 (2016) 1, pp. 75-85
Persistent link: https://www.econbiz.de/10011560885
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Internet gambling stock returns : empirical evidence from the UK
Perez Liston, Daniel - In: International journal of managerial finance : IJMF 13 (2017) 1, pp. 36-49
Persistent link: https://www.econbiz.de/10011660508
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Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns
Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor - In: Journal of financial economics 120 (2016) 3, pp. 464-490
Persistent link: https://www.econbiz.de/10011590229