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Exploring asset pricing anomalies

Zhang, Lu - In: NBER reporter online (2014) 1, pp. 17-19

Persistent link: https://www.econbiz.de/10011368742

Further evidence on idiosyncratic risk and REIT pricing : a cross-country analysis

Mi, Lin; Benson, Karen; Faff, Robert W. - In: Accounting research journal 29 (2016) 1, pp. 34-58

Persistent link: https://www.econbiz.de/10011578767

A neoclassical interpretation of momentum

Xiaolei Lui, Laura; Zhang, Lu - In: Journal of monetary economics 67 (2014), pp. 109-128

Persistent link: https://www.econbiz.de/10010510918

Is there a banking risk premium in the US stock market?

Zeng, Liujing; Au Yong, Hue Hwa; Sirimon Treepongkaruna; … - In: Journal of financial management, markets and institutions 2 (2014) 1, pp. 27-42

Persistent link: https://www.econbiz.de/10011949651

Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market

Faff, Robert W.; Gharghori, Philip; Nguyen, Annette - In: International review of economics & finance : IREF 29 (2014), pp. 627-638

Persistent link: https://www.econbiz.de/10010432291

Equilibrium cross section of returns

Gomes Neto, João Batista F.; Kogan, Leonid; Zhang, Lu - In: Journal of political economy 111 (2003) 4, pp. 693-732

Persistent link: https://www.econbiz.de/10001786306

Modeling the risk and return relation conditional on markt volatility and market conditions

Galagedera, Don U. A.; Faff, Robert W. - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 75-95

Persistent link: https://www.econbiz.de/10002625219

Explaining mispricing with Fama-French factors : new evidence from the multiscaling approach

In, Francis Haeuck; Kim, Sangbae; Faff, Robert W. - In: Applied financial economics 20 (2010) 4/6, pp. 323-330

This article examines the Capital Asset Pricing Model (CAPM) over different frequencies utilizing a recently developed multiscaling method: wavelet analysis. Our empirical analysis shows that the risk factors are more relevant at the lower frequencies than at the higher frequencies in the...

Persistent link: https://www.econbiz.de/10003963131

Feedback trading and the behavioural ICAPM : multivariate evidence across international equity and bond markets

Dean, Warren G.; Faff, Robert W. - In: Applied financial economics 21 (2011) 22/24, pp. 1665-1678

Persistent link: https://www.econbiz.de/10009385058

The economics of security analysis

Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 164-186

Persistent link: https://www.econbiz.de/10014469937