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The dispersion of beta estimates and the investors’ heterogeneous Belief : evidence from the stock market in China
Hong, Jiawei; Yu, Xiaojian; Xiao, Weilin; Zhang, Xili - In: International review of economics & finance : IREF 79 (2022), pp. 540-550
Persistent link: https://www.econbiz.de/10013345756
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Stock return outliers and beta estimation : the case of U.S. pharmaceutical companies
Theodossiou, Alexandra K.; Theodossiou, Panayiotis - In: Journal of international financial markets, … 30 (2014), pp. 153-171
Persistent link: https://www.econbiz.de/10011293772
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Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
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Asymmetric jump beta estimation with implications forportfolio risk management
Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - 2017
Persistent link: https://www.econbiz.de/10012806610
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Long- and short-run components of factor betas : implications for stock pricing
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun; … - In: Journal of international financial markets, … 74 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012803274
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Realized regression with asynchronous and noisy high frequency and high dimensional data
Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10015074483
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A nonparametric approach to measuring the sensitivity of an asset’s return to the market
Severini, Thomas A. - In: Annals of finance 12 (2016) 2, pp. 179-199
Persistent link: https://www.econbiz.de/10011555692
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Variation and efficiency of high-frequency betas
Zhang, Congshan; Li, Jia; Todorov, Viktor; Tauchen, … - In: Journal of econometrics 228 (2022) 1, pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
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A tale of two anomalies : higher returns of low-risk stocks and return seasonality
Fiore, Christopher; Saha, Atanu - In: The financial review : the official publication of the … 50 (2015) 2, pp. 257-273
Persistent link: https://www.econbiz.de/10011282741
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Time variation in systematic risk, returns and trading volume : evidence from precious metals mining stocks
Ciner, Cetin - In: International review of financial analysis 41 (2015), pp. 277-283
Persistent link: https://www.econbiz.de/10011508966