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Two kinds of value premiums
Kim, Tae-hwan - In: International economic journal 26 (2012) 2, pp. 281-299
Persistent link: https://www.econbiz.de/10009658583
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Idiosyncratic volatility and the pricing of poorly-diversified portfolios
Miffre, Joëlle; Brooks, Chris; Li, Xiafei - In: International review of financial analysis 30 (2013), pp. 78-85
Persistent link: https://www.econbiz.de/10010459997
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Comparative analysis of risk, return and diversification of mutual fund
Ahmad, Rais; Nomani, Abuzar - In: Journal of economics and business research 21 (2015) 1, pp. 69-83
Persistent link: https://www.econbiz.de/10011313293
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The price of correlation risk : evidence from Chinese stock market
Deng, Yiwen; Liu, Chen; Zheng, Zhenlong - In: China finance review international 4 (2014) 4, pp. 343-359
Persistent link: https://www.econbiz.de/10011339002
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Evaluation of Australian industry superannuation fund performance : asset allocation to property
Reddy, Wejendra - In: Journal of property investment & finance 34 (2016) 4, pp. 301-320
Persistent link: https://www.econbiz.de/10011595030
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Do taxable REIT subsidiary spell risk for REITs? : an empirical examination
Cardona, Juan C. - In: Journal of property investment & finance 34 (2016) 4, pp. 387-406
Persistent link: https://www.econbiz.de/10011595046
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Diversify and purify factor premiums in equity markets
Carvalho, Raul Leote de; Lu, Xiao; Soupé, François; … - In: Factor investing : from traditional to alternative risk …, (pp. 73-97). 2017
Persistent link: https://www.econbiz.de/10011794906
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Diversification across ASEAN-wide sectoral and national equity returns
Balli, Faruk; Balli, Hatice Ozer; Luu, Mong Ngoc - In: Economic modelling 41 (2014), pp. 398-407
Persistent link: https://www.econbiz.de/10010440683
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Is Beta Dead? — Reevaluation of Equity Returns in the US Diversified Financial Sector
Mohan, Ramesh - 2013
This study examines the relation between equity returns and fundamental variables by utilizing multifactor asset pricing models. Specifically, it incorporates several variables from prior empirical research to examine the impact of systematic risk on equity returns in the financial sector. The...
Persistent link: https://www.econbiz.de/10013071373
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Hedge Fund Strategies, Performance & Diversification : A Portfolio Theory & Stochastic Discount Factor Approach
Newton, David - 2020
strategies using a stochastic discount factor approach. Employing the same data, we then consider the diversification benefits of … diversification benefits. The higher is an investor's risk aversion, the more beneficial is diversification into hedge funds …
Persistent link: https://www.econbiz.de/10012849217