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What drives the value premium? : risk versus mispricing ; evidence from international markets
Chaves, Denis B.; Hsu, Jason C.; Kalesnik, Vitali; … - In: Journal of investment management : JOIM 11 (2013) 4, pp. 22-39
Persistent link: https://www.econbiz.de/10010357098
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Can CRRA preferences explain CAPM-anomalies in the cross-section of stock returns?
Elmiger, Sabine - 2013
Persistent link: https://www.econbiz.de/10010256374
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CAPM-anomalies : quantitative puzzles
Elmiger, Sabine - In: Economic theory : official journal of the Society for … 68 (2019) 3, pp. 643-667
Persistent link: https://www.econbiz.de/10012213098
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A study on risk return relationship of it and pharmaceutical stocks listed in nseusing capital asset pricing model
Rekha, S.; Vasanth, V.; Sivakami, P. - In: International journal of applied business and economic … 17 (2019) 2, pp. 23-28
Persistent link: https://www.econbiz.de/10012495657
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Validating empirically identified risk factors
Pettengill, Glenn N.; Chang, George - In: Journal of economics and finance 43 (2019) 1, pp. 162-179
Persistent link: https://www.econbiz.de/10012171017
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Bear beta or speculative beta? : reconciling the evidence on downside risk premium
Wang, Tong - In: Review of finance : journal of the European Finance … 27 (2023) 1, pp. 325-367
Persistent link: https://www.econbiz.de/10013543164
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Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium
Wang, Tong - 2022
market. We decompose an option- based factor into three main components and identify the one responsible for the beta … related to the betting-against-beta puzzle. We trace the root of this anomaly to disagreement concerning the aggregate stock …
Persistent link: https://www.econbiz.de/10013305706
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Short-run risk, business cycle, and the value premium
He, Yunhao; Leippold, Markus - In: Journal of economic dynamics & control 120 (2020), pp. 1-36
Persistent link: https://www.econbiz.de/10012503891
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Leverage, default risk, and the cross-section of equity and firm returns
Hood, Frederick M. - In: Modern economy 7 (2016) 14, pp. 1610-1639
Persistent link: https://www.econbiz.de/10011647971
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Cross-sectional regression of returns on betas and portfolio grouping procedures
Hur, Jungshik; Kumar, Raman; Vivek Singh - In: International journal of business and systems research 8 (2014) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10010423288