Is there a low-risk anomaly across countries?
Year of publication: |
April 2016
|
---|---|
Authors: | Zaremba, Adam |
Published in: |
Eurasian economic review : a journal in applied macroeconomics and finance. - Heidelberg : Springer, ISSN 2147-429X, ZDB-ID 2646817-7. - Vol. 6.2016, 1, p. 45-65
|
Subject: | Low risk anomaly | Beta | Standard deviation | Value at risk | Idiosyncratic volatility | Inter-market effects | Cross-section of returns | Factor returns | International diversification | Country selection strategies | Factor investing | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | CAPM | Volatilität | Volatility | Risiko | Risk | Welt | World | Risikomaß | Risk measure | Betafaktor | Beta risk | Investitionsrisiko | Investment risk | Börsenkurs | Share price |
-
Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef, (2023)
-
A multivariate GARCH-jump mixture model
Li, Chenxing, (2024)
-
Asymmetric jump beta estimation with implications for portfolio risk management
Alexeev, Vitali, (2019)
- More ...
-
The low price effect on the Polish market
Zaremba, Adam, (2014)
-
The profitability of following analyst recommendations on the Polish stock market
Zaremba, Adam, (2015)
-
Paper profits from value, size and momentum: Evidence from the Polish market
Zaremba, Adam, (2015)
- More ...