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The liquidity premium in equity pricing under a continuous auction system

Rubio, Gonzalo - In: The European journal of finance 4 (1998) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10001247522

The cross section of expected returns with MIDAS betas

González, Mariano; Nave, Juan M.; Rubio, Gonzalo - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 1, pp. 115-135

Persistent link: https://www.econbiz.de/10009623141

Volatility risk premia betas

Gonález-Urteaga, Ana; Rubio, Gonzalo - In: Revista de economía aplicada : publicación cuatrimestral 24 (2016) 70, pp. 111-145

Persistent link: https://www.econbiz.de/10011632944

Macroeconomic determinants of stock market betas

González Sánchez, Mariano; Nave, Juan; Rubio, Gonzalo - In: Journal of empirical finance 45 (2018), pp. 26-44

Persistent link: https://www.econbiz.de/10012102444

Macroeconomic Determinants of Stock Market Betas

Gonzalez, Mariano - 2018

This paper proposes the mixed frequency conditional beta. We employ the MIDAS framework to decompose market betas into high and low frequency components. The total mixed frequency beta is the weighted average of these two components. Then, we analyze the macroeconomic determinants of stock...

Persistent link: https://www.econbiz.de/10012935589