Narrow search
Showing 1 - 10 of 15,941
Cover Image
Robust beta estimation : some empirical evidence
Fong, Wai-mun - In: Review of financial economics : RFE 6 (1997) 2, pp. 167-186
Persistent link: https://www.econbiz.de/10001234501
Cover Image
Zur Relevanz von CAPM-Anomalien für den deutschen Aktienmarkt
Stock, Detlev - 2002
Persistent link: https://www.econbiz.de/10001566990
Cover Image
Konditionierte Information und Renditequerschnitt am Aktienmarkt
Erke, Burkhard - In: Private Versicherung und soziale Sicherung : …, (pp. 371-390). 2001
Persistent link: https://www.econbiz.de/10001587328
Cover Image
Irrational exuberance reconsidered : the cross section of stock returns
Külpmann, Mathias - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001755223
Cover Image
Habit formation and the cross section of stock returns
Menzly, Lior (contributor); Santos, Tano (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001636417
Cover Image
Systematic Risk and Share Turnover [or Beta as a Measure of Mispricing]
Kasch, Maria - 2017
meaningfulness of traditional tests of the CAPM, and (3) suggests that the low-risk anomaly (Black et al. (1972)) reflects a reversal …
Persistent link: https://www.econbiz.de/10012969122
Cover Image
Beta Bubbles
Jylha, Petri - 2017
temporary increase in its CAPM beta estimate and a decrease in its CAPM alpha. The increasing effect of breadth of ownership on …-driven components of beta estimates that we find contribute to the empirical failure of the CAPM and the large returns to long …
Persistent link: https://www.econbiz.de/10012971144
Cover Image
Single Beta and Dual Beta Models : A Testing of CAPM on Condition of Market Overreactions
Sembiring, Ferikawita - 2017
Indonesia and the market factor in CAPM, or a single beta, is able to explain the portfolio returns. As a continuation of that … study, we now use the concept of conditional CAPM, or a dual beta, to test whether the performance of the dual beta can … winner and the loser. The conditional CAPM is applied by separating the market into upstream markets and downstream markets …
Persistent link: https://www.econbiz.de/10012950964
Cover Image
Cross-Sectional Asset Pricing with Individual Stocks : Betas versus Characteristics
Chordia, Tarun - 2019
(though not for the CAPM). There is no pricing evidence for the book-to-market and momentum factors with all characteristics …
Persistent link: https://www.econbiz.de/10012904514
Cover Image
The Latest Wave in Advanced Beta : Combining Value, Low Volatility, and Quality
Bender, Jennifer - 2019
The latest wave in advanced beta, also known as smart beta, factor investing, and risk premia investing, among other names, has focused on combining multiple factors in one portfolio. One of the more widely discussed combinations has been Value, Low Volatility, and Quality, which results in a...
Persistent link: https://www.econbiz.de/10012904544