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Investor attention, ETF returns, and country-specific factors

Lee, Chien-Chiang; Chen, Mei-Ping; Lee, Chi-Chuan - In: Research in international business and finance 56 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013267884

Green and good? : The investment performance of US environmental mutual funds

Climent Diranzo, Francisco J.; Soriano-Felipe, Pilar - 2011

Persistent link: https://www.econbiz.de/10010428278

Combining alphas via bounded regression

Kakushadze, Zura - In: Risks : open access journal 3 (2015) 4, pp. 474-490

We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications, typically, there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To compute alpha allocation weights, one then resorts to...

Persistent link: https://www.econbiz.de/10011402659

Three essays on asset pricing anomalies, investor overreaction, and mutual fund performance

Zhang, Hong - 2004

Persistent link: https://www.econbiz.de/10003551684

Offsetting disagreement and security prices

Huang, Shiyang; Hwang, Byoung-Hyoun; Lou, Dong; Yin, Chengxi - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3444-3465

Persistent link: https://www.econbiz.de/10012289149

Overselling winners and losers : how mutual fund managers' trading behavior affects asset prices

An, Li; Argyle, Bronson - In: Journal of financial markets 55 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10014543783

Which investors matter for equity valuations and expected returns?

Koijen, Ralph S. J.; Richmond, Robert J.; Yogo, Motohiro - In: The review of economic studies : RES 91 (2024) 4, pp. 2387-2424

Persistent link: https://www.econbiz.de/10015046454

Can efficiency of returns be considered as a pricing factor?

Rubio, J. Francisco; Maroney, Neal; Hassan, M. Kabir - In: Computational economics 52 (2018) 1, pp. 25-54

Persistent link: https://www.econbiz.de/10012052920

Essays on empirical asset pricing

Nteventzis, Dimitrios - 2022

performance is driven by estimation bias. Through an empirical application, we demonstrate the impact of the criteria on the … test criteria in identifying true asset pricing factors. We focus on the Sharpe ratio and pricing performance improvement …. While both criteria are exposed to model misspecification, we find that pricing performance criteria are inferior as their …

Persistent link: https://www.econbiz.de/10013450825

Asymmetric dependence between the prospect theory value and stock returns in India : a quantile regression approach

Yadav, Manisha; Dixit, Gaurav - In: Managerial finance 51 (2025) 2, pp. 236-261

Persistent link: https://www.econbiz.de/10015199608