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

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun; … - In: Journal of international financial markets, … 74 (2021), pp. 1-14

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The volatility effect in China

Blitz, David; Hanauer, Matthias; Vliet, Willem Nicolaas van - In: The journal of asset management : a major new, … 22 (2021) 5, pp. 338-349

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An investigation of the beta anomaly in emerging markets : a South African case

Segojane, Mabekebeke; Ndlovu, Godfrey - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-18

-sectional econometric techniques to analyze the risk-return relationship implied by the CAPM, using data that span over 5 years and 220 … only determinant of risk in the South African stock market. We also found positive beta-idiosyncratic volatility (IVOL …

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Beta and size equity premia following a high-VIX threshold

Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: The journal of futures markets 42 (2022) 8, pp. 1491-1517

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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

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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

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Time-varying continuous and jump betas : the role of firm characteristics and periods of stress

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Journal of empirical finance 40 (2017), pp. 1-19

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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

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Profitability and low-risk anomalies reexamined

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A multivariate GARCH-jump mixture model

Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207

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