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Long- and short-run components of factor betas : implications for equity pricing

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun; … - 2017

Persistent link: https://www.econbiz.de/10011750336

Analysing assets' performance inside a portfolio : from crossed beta to the net risk premium ratio

Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-23

This paper is focused on enlarging the performance inside a portfolio that provides the Treynor ratio by relating portfolio weights with performance indicators. Intuition suggests that the higher the weight of an asset, the higher should be its expected performance. These weights, and the...

Persistent link: https://www.econbiz.de/10011877322

A lottery-demand-based explanation of the beta anomaly

Bali, Turan G.; Brown, Stephen J.; Murray, Scott; Tang, Yi - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 6, pp. 2369-2397

Persistent link: https://www.econbiz.de/10011929337

Beta matrix and common factors in stock returns

Ahn, Seung Chan; Horenstein, Alex R.; Wang, Na - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 3, pp. 1417-1440

Persistent link: https://www.econbiz.de/10011930424

The neglect effect in security beta estimates - an observation of the US stock market from 1933 until 2016

Scheler, Fabian; Ecker, Frank; Werner, Jan - 2017

Persistent link: https://www.econbiz.de/10011921132

Shareholder activism and equity price reactions

King, Timothy; Bozos, Konstantinos; Koutmos, Dimitrios - In: Economics letters 160 (2017), pp. 100-104

Persistent link: https://www.econbiz.de/10011903814

Time-varying industry beta in Indian stock market and forecasting errors

Das, Sudipta; Barai, Parama - In: International journal of emerging markets 10 (2015) 3, pp. 521-534

Persistent link: https://www.econbiz.de/10011489295

Some betas are less dead than others : beta as a predictor of future price changes for individual stocks

Platt, Harlan D.; Bolster, Paul J.; Cai, Licheng - In: The journal of investing 23 (2014) 1, pp. 43-52

Persistent link: https://www.econbiz.de/10011312855

Country world betas : the link between the stock market beta and macroeconomic beta

Ülkü, Numan; Baker, Saleh - In: Finance research letters 11 (2014) 1, pp. 36-46

Persistent link: https://www.econbiz.de/10010393629

Are we overestimating REIT idiosyncratic risk? : analysis of pricing effects and persistence

Abugri, Benjamin Adam; Dutta, Sandip - In: International review of economics & finance : IREF 29 (2014), pp. 249-259

Persistent link: https://www.econbiz.de/10010431425