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Gene Fama’s Impact : a quantitative analysis

Schwert, George William; Stulz, René M. - 2014

140,000 Google cites while the median number of citations for the Fellows of the American Finance Association is 32 …

Persistent link: https://www.econbiz.de/10010483663

A simple two-component model for the distribution of intraday returns

Coroneo, Laura; Veredas, David - In: The European journal of finance 18 (2012) 9/10, pp. 775-797

Persistent link: https://www.econbiz.de/10009691780

A comparative study of monotone quantile regression methods for financial returns

Cai, Yuzhi - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-16

Persistent link: https://www.econbiz.de/10011523744

Monetary environments and stock returns : international evidence based on the quantile regression technique

Chevapatrakul, Thanaset - In: International review of financial analysis 38 (2015), pp. 83-108

Persistent link: https://www.econbiz.de/10011337628

Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?

Auer, Benjamin R.; Rottmann, Horst - 2018

We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...

Persistent link: https://www.econbiz.de/10011927961

Predicting risk premium under changes in the conditional distribution of stock returns

Sousa, João; Sousa, Ricardo M. - In: Journal of international financial markets, … 50 (2017), pp. 204-218

Persistent link: https://www.econbiz.de/10011896275

Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?

Auer, Benjamin R.; Rottmann, Horst - 2018

Persistent link: https://www.econbiz.de/10011897589

Assessing the idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models using quantile regression

Nath, Harmindar B.; Brooks, Robert - In: International review of economics & finance : IREF 38 (2015), pp. 94-111

Persistent link: https://www.econbiz.de/10011572339

Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis

Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee - In: Finance research letters 18 (2016), pp. 291-296

Persistent link: https://www.econbiz.de/10011657223

On the different impact of local and national sources of policy uncertainty on sectoral stock volatility

Sabani, Nazmie; Bales, Stephan; Burghof, Hans-Peter - In: Research in international business and finance 72 (2024) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10015065744