Search Results - subject:"Asset pricing anomaly"

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The reduced-rank beta in linear stochastic discount factor models

Sun, Yang; Zhang, Xuan; Zhang, Zhekai - In: International review of financial analysis 84 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013472971

The leverage anomaly in U.S. bank stock returns

Venmans, Frank - In: Journal of international financial markets, … 75 (2021), pp. 1-30

Persistent link: https://www.econbiz.de/10012820423

Arbitrage risk and the turnover anomaly

Chou, Pin-Huang; Huang, Tsung-Yu; Yang, Hung-Jeh - In: Journal of Banking & Finance 37 (2013) 11, pp. 4172-4182

A strong turnover premium exists such that stocks with lower turnover have higher future returns in the 5years following their formation than those with higher turnover. This turnover premium cannot be explained by existing asset-pricing models, a risk-based liquidity factor, or anomalies such...

Persistent link: https://www.econbiz.de/10010703237

Arbitrage risk and the turnover anomaly

Chou, Pin-huang; Huang, Tsung-yu; Yang, Hung-jeh - In: Journal of banking & finance 37 (2013) 11, pp. 4172-4182

Persistent link: https://www.econbiz.de/10010245601

Stock market trading activity and returns around milestones

Aragon, George O.; Dieckmann, Stephan - In: Journal of empirical finance 18 (2011) 4, pp. 570-584

Persistent link: https://www.econbiz.de/10009306543