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Beyond Fama-French factors : alpha from short-term signals
Blitz, David; Hanauer, Matthias; Honarvar, Iman; … - In: Financial analysts journal : FAJ 79 (2023) 4, pp. 96-117
Persistent link: https://www.econbiz.de/10014427369
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Conditional Downside Risk and the CAPM
Post, Thierry; van Vliet, Pim - 2009
The mean-semivariance CAPM strongly outperforms the traditional mean-variance CAPM in terms of its ability to explain the cross-section of US stock returns. If regular beta is replaced by downside beta, the traditional risk-return relationship is restored. The downside betas of low-beta stocks...
Persistent link: https://www.econbiz.de/10014062532
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Short-term residual reversal
Blitz, David; Huij, Joop; Lansdorp, Simon D.; Verbeek, Marno - In: Journal of financial markets 16 (2013) 3, pp. 477-504
Persistent link: https://www.econbiz.de/10010348522
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Downside risk and asset pricing
Post, Thierry (contributor); Vliet, Pim van (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002188466
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Conditional downside risk and the CAPM
Post, Thierry (contributor); Vliet, Pim van (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002190699
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Downside risk and asset pricing
Post, Thierry; Vliet, Pim van - In: Journal of banking & finance 30 (2006) 3, pp. 823-849
Persistent link: https://www.econbiz.de/10003300393