Search Results - subject:"Cross-Sectional Dispersion"

Costa, Filipe; Fortuna, Natércia; Lobão, Júlio - In: Research in international business and finance 68 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014451812

Recalcitrant betas: Intraday variation in the cross-sectional dispersion of systematic risk

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative Economics 12 (2021) 2, pp. 647-682

We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...

Persistent link: https://www.econbiz.de/10013189761

Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682

Persistent link: https://www.econbiz.de/10012598456

Bank liquidity hoarding strategies in uncertain times : new evidence from an emerging market with bank-level data

Van Dan Dang; Nguyen Hoang Chung - In: Organizations and markets in emerging economies 12 (2021) 2, pp. 377-398

nature of the impact by bank-level heterogeneity. We consider the cross-sectional dispersion of shocks to key bank variables …

Persistent link: https://www.econbiz.de/10012815506

Bank liquidity hoarding strategies in uncertain times: New evidence from an emerging market with bank-level data

In: Organizations and Markets in Emerging Economies 12 (2021) 2, pp. 377-398

nature of the impact by bank-level heterogeneity. We consider the cross-sectional dispersion of shocks to key bank variables …

Persistent link: https://www.econbiz.de/10015401298

Herding in the bad times : the 2008 and COVID-19 crises

Ferreruela, Sandra; Mallor, Tania - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013188174

Endogenous second moments : a unified approach to fluctuations in risk, dispersion, and uncertainty

Straub, Ludwig; Ulbricht, Robert - 2016

Persistent link: https://www.econbiz.de/10012216957

Bubbles and house price dispersion in the United States during 1975-2017

Tang, Yang; Zeng, Ting; Zhu, Shenghao - In: Journal of macroeconomics 63 (2020), pp. 1-23

Persistent link: https://www.econbiz.de/10012243183

Do investors follow the herd in option markets?

Bernales, Alejandro; Verousis, Thanos; Voukelatos, Nikolaos - In: Journal of banking & finance 119 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012521178

Can China's cross-sectional dispersion of stock returns influence the herding behaviour of traders in other local markets and China's trading partners?

Chong, Oiping; Bany-Ariffin, Amin Noordin; Matemilola, … - In: Journal of international financial markets, … 65 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012495730