Search Results - subject:"multi-factor asset pricing"

Bank equity returns and oil prices : the story from U.S. regional banks during the "shale oil" revolution

Mollick, André Varella; Killins, Robert N.; Egly, Peter V. - In: Research in international business and finance 70 (2024) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10015053803

On the importance of asset pricing factors in the relative valuation

Skočir, Matevž; Lončarski, Igor - In: Research in international business and finance 70 (2024) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10015056366

Green revenues and stock returns : cross-market evidence

Bassen, Alexander; Shu, Hao; Tan, Weiqiang - In: Finance research letters 52 (2023), pp. 1-7

Persistent link: https://www.econbiz.de/10014472040

Factor tracking : a new smart beta strategy that outperforms naïve diversification

Jiang, Chonghui; Du, Jiangze; An, Yunbi; Zhang, Jinqing - In: Economic modelling 96 (2021), pp. 396-408

Persistent link: https://www.econbiz.de/10012745446

Measuring the stock's factor beta and identifying risk factors under market inefficiency

Semenov, Andrei - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 635-649

Persistent link: https://www.econbiz.de/10012655588

Two gold return puzzles

Kolev, Gueorgui I. - In: Economics Bulletin 33 (2013) 3, pp. 1762-1770

Since the dismantling of the Bretton Woods system, gold has delivered average return comparable to the average return delivered by the aggregate US stock market. This suggests that none of the growth and technological improvement gains accrued to the financiers. In the context of modern asset...

Persistent link: https://www.econbiz.de/10010836117

Dynamic conditional beta

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667

Persistent link: https://www.econbiz.de/10011623818