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Navigating the factor zoo around the world : an institutional investor perspective

Bartram, Söhnke M.; Lohre, Harald; Pope, Peter F.; … - In: Journal of business economics : JBE 91 (2021) 5, pp. 655-703

Persistent link: https://www.econbiz.de/10012588809

Jylha, Petri - 2017

We show that an increase in a stock's breadth of institutional ownership or turnover is followed by a significant but temporary increase in its CAPM beta estimate and a decrease in its CAPM alpha. The increasing effect of breadth of ownership on beta estimates strengthens if we classify...

Persistent link: https://www.econbiz.de/10012971144

Beta bubbles

Jylhä, Petri; Suominen, Matti; Tomunen, Tuomas - In: Review of asset pricing studies 8 (2018) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10012001522

Local currency bond returns in emerging economies and the role of foreign investors

So, Inhwan; Valente, Giorgio; Wu, Jason - 2019

Persistent link: https://www.econbiz.de/10012202946

Essays on institutional investors, portfolio choice, and asset prices

Jansen, Kristy A. E. - 2021

Persistent link: https://www.econbiz.de/10012422949

An empirical analysis of investor confidence incorporated in market prices

Murphy, Austin; Fu, Liang - In: The journal of behavioral finance : a publication of … 20 (2019) 3, pp. 267-293

Persistent link: https://www.econbiz.de/10012180508

Disagreement between hedge funds and other institutional investors and the cross-section of expected stock returns

Caglayan, Mustafa O.; Celiker, Umut; Sonaer, Gokhan - In: The financial review : the official publication of the … 57 (2022) 3, pp. 663-689

Persistent link: https://www.econbiz.de/10013348733

Extreme liquidity risk and the cross-section of expected returns : evidence from China

Hu, Zhijun; Sun, Ping-Wen - In: Asia-Pacific journal of financial studies 52 (2023) 2, pp. 159-192

Persistent link: https://www.econbiz.de/10014315548

Asset pricing in an imperfect world

Cassese, Gianluca - In: Economic theory : official journal of the Society for … 64 (2017) 3, pp. 539-570

Persistent link: https://www.econbiz.de/10011740670

Size-adapted bond liquidity measures and their asset pricing implications

Reichenbacher, Michael; Schuster, Philipp - In: Journal of financial economics 146 (2022) 2, pp. 425-443

Persistent link: https://www.econbiz.de/10013482286