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Identifying portfolio-based systematic risk factors in equity markets

Grobys, Klaus; Haga, Jesper - In: Finance research letters 17 (2016), pp. 88-92

Persistent link: https://www.econbiz.de/10011596233

Higher order comoments of multifactor models and asset allocation

Boudt, Kris; Lu, Wanbo; Peeters, Benedict - In: Finance research letters 13 (2015), pp. 225-233

Persistent link: https://www.econbiz.de/10011552528

The ICAPM and empirical pricing factors : a simulation study

Kwon, Ji Ho; Sohn, Bumjean - In: Finance research letters 60 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10014490205

Model comparison tests of linear factor models in U.K. stock returns

Fletcher, Jonathan - In: Finance research letters 28 (2019), pp. 281-291

Persistent link: https://www.econbiz.de/10012388326

Mispricing, returns and the quest for parsimony

Qiu, Wanling - In: Finance research letters 37 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012484942

Quest for a parsimonious factor model in the wake of quality-minus-junk, misvaluation and Fama-French-six factors

Ali, Fahad; Ülkü, Numan - In: Finance research letters 41 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10013336158

Forecasting returns of major cryptocurrencies : evidence from regime-switching factor models

Bouri, Elie; Christou, Christina; Gupta, Rangan - In: Finance research letters 49 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013479661

On the efficient synthesis of short financial time series : a Dynamic Factor Model approach

Bitetto, Alessandro; Cerchiello, Paola; Mertzanis, Charilaos - In: Finance research letters 53 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014472517

Can factor momentum beat momentum factor? : evidence from China

Ouyang, Ruolan; Zhang, Kun; Zhang, Xuan; Zhu, Dongming - In: Finance research letters 62 (2024) 1, pp. 1-12

While existing studies have not detected a significant standard momentum in the A-share market, recent literature has documented several modified momentum factors. Echoing the findings of Ehsani and Linnainmaa (2022), our study identifies strong factor momentum in the A-share market. Factor...

Persistent link: https://www.econbiz.de/10014530711

Risk-weighted cryptocurrency indices

Feng, Wenjun; Zhang, Zhengjun - In: Finance research letters 51 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014291558