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The impact of liquidity on the cross section of equity returns on the Johannesburg Securities Exchange
Van Heerden, JD; Van Rensburg, Paul - In: Economics, management and financial markets 11 (2016) 2, pp. 59-86
Persistent link: https://www.econbiz.de/10011814012
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Assessing asset pricing anomalies
Groot, Wilma de - 2017
Persistent link: https://www.econbiz.de/10011862366
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An application of factor pricing models to the Polish stock market
Zaremba, Adam; Czapkiewicz, Anna; Szczygielski, Jan Jakub; … - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 9, pp. 2039-2056
Persistent link: https://www.econbiz.de/10012210940
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Essays on factor investing
Kyosev, Georgi Stefanov - 2019
Persistent link: https://www.econbiz.de/10012149628
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Common risk factors in international stock markets
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - In: Financial markets and portfolio management 33 (2019) 3, pp. 213-241
Persistent link: https://www.econbiz.de/10012427778
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Where have the profits gone? : market efficiency and the disappearing equity anomalies in country and industry returns
Zaremba, Adam; Umutlu, Mehmet; Maydybura, Alina - In: Journal of banking & finance 121 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012521610
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Digesting anomalies in emerging European markets : a comparison of factor pricing models
Zaremba, Adam; Czapkiewicz, Anna - In: Emerging markets review 31 (2017), pp. 1-15
Persistent link: https://www.econbiz.de/10011803140
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Investment based on size, value, momentum and income measures : a study in the Taiwan stock market
Lu, Richard; Wang, Jai-Jen; Wong, Wing Keung - In: Annals of financial economics 17 (2022) 4, pp. 1-33
Persistent link: https://www.econbiz.de/10014234486
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Cash-hedged stock returns
Ross, Chase P.; Ross, Landon J.; Ross, Sharon Y. - 2022
Persistent link: https://www.econbiz.de/10013414147
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Multifactor Funds vs. Homemade Factor Diversification Strategies
Estrada, Javier - 2023
Multifactor funds, which offer factor diversification neatly packaged in one product, have a rather short but poor track record; these funds have largely underperformed widely-available broad market funds. This article evaluates the performance of multifactor funds relative to two homemade factor...
Persistent link: https://www.econbiz.de/10014349953