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Fama-French-Carhart Factor-Based Premiums in the US REIT market : a risk based explanation, and the impact of financial distress and liquidity crisis from 2001 to 2020

Essa, Mohammad Sharik; Giouvris, Evangelos - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-39

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine the presence, magnitude and...

Persistent link: https://www.econbiz.de/10013545890

Closed-end funds and the financial crisis

Kong, Sophie X.; Wang, Fang - In: International journal of financial services management … 8 (2015) 2, pp. 148-162

Persistent link: https://www.econbiz.de/10011547616

The dynamics of volatility and correlation during periods of crisis : implications for active asset management

Esposito, Marcello - In: The journal of asset management 17 (2016) 3, pp. 135-140

Persistent link: https://www.econbiz.de/10011485140

A wholistic approach to diversification management : the diversification delta strategy applied to non-normal return distributions

Baitinger, Eduard; Kutsarov, Iliya; Maier, Thomas; … - In: Credit and capital markets : Kredit und Kapital 48 (2015) 1, pp. 89-119

Persistent link: https://www.econbiz.de/10011412015

Momentum has its own values

Chuang, Hongwei - 2021

Persistent link: https://www.econbiz.de/10012616130

Conditional correlations between stock index, investment grade yield, high yield and commodities (gold and oil) during stable and crisis periods

Tuysuz, Sukriye - In: International journal of economics and finance 5 (2013) 9, pp. 28-44

Persistent link: https://www.econbiz.de/10010190858

Another look at momentum crashes : momentum in the European Monetary Union

Grobys, Klaus - In: Applied economics 48 (2016) 19/21, pp. 1759-1766

Persistent link: https://www.econbiz.de/10011589714

Fundamental driver of fund style drift

Galloppo, Giuseppe; Trovato, Giovanni - In: The journal of asset management 18 (2017) 2, pp. 99-123

Persistent link: https://www.econbiz.de/10011694987

Interest rate and exchange rate exposure of portfolio stock returns : does the financial crisis matter?

Dwumfour, Richard Adjei; Addy, Naa Adokarley - In: Journal of African business 20 (2019) 3, pp. 339-357

Persistent link: https://www.econbiz.de/10012180403

Momentum crash, credit risk and optionality effects in bear markets and crisis periods : evidence from the US stock market

Grobys, Klaus - In: Applied economics letters 24 (2017) 4/6, pp. 387-391

Persistent link: https://www.econbiz.de/10011705358

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