Search Results - subject:"Conditional Beta"

The conditional pricing of systematic and idiosyncratic risk in the UK equity market

Cotter, John; O'Sullivan, Niall; Rossi, Francesco - 2014

Persistent link: https://www.econbiz.de/10010343568

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013

This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in … expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of … relation between dynamic conditional beta and future returns on individual stocks. An investment strategy that goes long stocks …

Persistent link: https://www.econbiz.de/10010500239

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Bali, Turan G.; Engle, Robert F.; Tang, Yi - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2013

Persistent link: https://www.econbiz.de/10010610574

Financial companies' failures : early warning information from systematic and systemic risk measures

Cipollini, Fabrizio; Giannozzi, Alessandro; Menchetti, … - In: The quarterly journal of finance 8 (2018) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10011922064

The asymmetric conditional beta-return relations of reits

Glascock, John Leslie; Lu-Andrews, Ran - In: The journal of real estate finance and economics 57 (2018) 2, pp. 231-245

Persistent link: https://www.econbiz.de/10012038865

The impact of foreign direct investment on income convergence : evidence from provinces of Vietnam

Chien Van Le; Nguyen, Huy Quynh - In: Southeast Asian journal of economics 6 (2018) 1, pp. 71-89

Persistent link: https://www.econbiz.de/10011979879

Financial contagion and capital asset pricing in Africa : the impact of the 2007-09 and Euro-Zone crises on natural resources sector Beta in African emerging markets

Tony-Okeke, Uchenna; Ahmadu-Bello, Jaliyyah; Niklewski, … - In: Research in international business and finance 45 (2018), pp. 54-61

Persistent link: https://www.econbiz.de/10011983111

Dynamic conditional beta is alive and well in the cross section of daily stock returns

Bali, Turan G.; Engle, Robert F.; Tang, Yi - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3760-3779

Persistent link: https://www.econbiz.de/10011772757

Beta and size revisited : evidence from the French stock market

Xiao, Bing - In: International journal of financial research 7 (2016) 5, pp. 42-50

Persistent link: https://www.econbiz.de/10011579740

The conditional pricing of systematic and idiosyncratic risk in the UK equity market

Cotter, John; Sullivan, Niall O'; Rossi, Francesco - In: International Review of Financial Analysis 37 (2015) C, pp. 184-193

.e., conditional on whether the excess market return is positive or negative. We find strong evidence in support of a conditional beta …

Persistent link: https://www.econbiz.de/10011191083