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Tests of alternative asset pricing models using individual security returns and a new multivariate F-test
Rahman, Shafiqur; Schneider, Matthew J. - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950001-1-1950001-34
Persistent link: https://www.econbiz.de/10012156138
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Modified beta and cross-sectional stock returns
Dennis, Steven A.; Simlai, Prodosh; Smith, William Steven - In: Research in finance 33 (2018), pp. 75-104
Persistent link: https://www.econbiz.de/10012227938
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Momentum: testing the information diffusion
Schüßler, Alexander - In: The international journal of finance 25 (2013) 4, pp. 7966-7984
Persistent link: https://www.econbiz.de/10010382960
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Common risk factors in the returns on cryptocurrencies
Liu, Weiyi; Liang, Xuan; Cui, Guowei - In: Economic modelling 86 (2020), pp. 299-305
Persistent link: https://www.econbiz.de/10012415860
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Sustainable factor investing : where doing well meets doing good
Hua Fan, John; Michalski, Lachlan - In: International review of economics & finance : IREF 70 (2020), pp. 230-256
Persistent link: https://www.econbiz.de/10012486789
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Is there a value premium in cryptoasset markets?
Liebi, Luca J. - 2022 - [Version] January 19, 2022
, including the market, size, and momentum factor ….1 percentage points higher weekly returns than cryptoassets with low active addresses to network value ratio, and comparable size …
Persistent link: https://www.econbiz.de/10012609730
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Australian firm characteristics and the cross-section variation in equity returns
Heaney, Richard A.; Koh, SzeKee; Lan, Yihui - In: Pacific-Basin finance journal 37 (2016), pp. 104-115
Persistent link: https://www.econbiz.de/10011668987
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Impact of size and volume on cryptocurrency momentum and reversal
Fičura, Milan; Panoš, Jiří - 2023
Persistent link: https://www.econbiz.de/10014281589
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Momentum in real economy and industry stock returns
Eichel, Ron - In: Journal of behavioral and experimental finance 32 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013337852
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Is there a value premium in cryptoasset markets?
Liebi, Luca J. - In: Economic modelling 109 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013348228