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Stock weighting and nontrading bias in estimated portfolio returns

Gray, Philip K. - In: Accounting and finance : journal of the Accounting … 54 (2014) 2, pp. 467-503

Persistent link: https://www.econbiz.de/10010373402

Testing Consumption-Based CAPM : Evidence from Alternative Models

Li, Bin - 2012

Despite its intuitive appeal, empirical evidence on the consumption-based CAPM remains unclear at best. Model restrictions are often rejected, parameters are estimated imprecisely, and inferences can be highly sensitive to model specifications and choice of instruments. This paper tests the fit...

Persistent link: https://www.econbiz.de/10013114285

The relationship between asset growth and the cross-section of stock returns

Gray, Philip K.; Johnson, Jessica - In: Journal of banking & finance 35 (2011) 3, pp. 670-680

Persistent link: https://www.econbiz.de/10009159716

The MAX effect : an exploration of risk and mispricing explanations

Zhong, Angel; Gray, Philip K. - In: Journal of banking & finance 65 (2016), pp. 76-90

Persistent link: https://www.econbiz.de/10011634328

Political uncertainty, market anomalies and Presidential honeymoons

Chan, Kam Fong; Gray, Philip K.; Gray, Stephen; Zhong, Angel - In: Journal of banking & finance 113 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012226090

Cao, Viet Nga; Gray, Philip K.; Zhong, Angel - In: International review of financial analysis 61 (2019), pp. 97-109

Persistent link: https://www.econbiz.de/10012206943

Assessing the usefulness of daily and monthly asset-pricing factors for Australian equities

Gray, Philip K.; Zhong, Angel - In: Accounting and finance 62 (2022) 1, pp. 181-211

Persistent link: https://www.econbiz.de/10013166392

An examination of the characteristics versus covariance debate for contemporary asset-pricing models : Australian evidence

Gray, Philip K.; Manapon Limkriangkrai; Xu, Wenyuan - In: Accounting and finance 64 (2024) 4, pp. 3781-3802

Persistent link: https://www.econbiz.de/10015165193

Anomalies, risk adjustment and seasonality : Australian evidence

Zhong, Angel; Manapon Limkriangkrai; Gray, Philip K. - In: International review of financial analysis 35 (2014), pp. 207-218

Persistent link: https://www.econbiz.de/10010530242