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Robustness of selectivity and timing measures of performance based on quadratic and dummy variable regressions

Chung, Richard - In: International review of financial analysis 6 (1997) 3, pp. 257-262

Persistent link: https://www.econbiz.de/10001248791

Tests of investor cognizance using earnings forecasts of North American analysts

Chung, Richard; Kryzanowski, Lawrence - In: International review of economics & finance : IREF 10 (2001) 2, pp. 187-204

Persistent link: https://www.econbiz.de/10001583345

The profitability of trading strategies based on book value and earnings in Hong Kong : market inefficiency vs. risk premia

Cheung, Joseph K. - In: Journal of international financial management and accounting 8 (1997) 3, pp. 204-233

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Augmenting the Intertemporal CAPM with Inflation : Further Evidence from Alternative Models

Shi, Qi; Li, Bin; Cheung, Adrian (Wai‐Kong); Chung, … - 2020

Studies consistently find that inflation is an important augmented factor for intertemporal capital asset pricing models (ICAPMs) when pricing the Fama–French 25 size and book-to-market portfolios. We extend this line of research by investigating two alternative ICAPM models (from Michel; Hahn...

Persistent link: https://www.econbiz.de/10014098402

Performance attribution using an APT with prespecified macrofactors and time-varying risk premia and betas

Kryzanowski, Lawrence - In: Journal of financial and quantitative analysis : JFQA 32 (1997) 2, pp. 205-224

Persistent link: https://www.econbiz.de/10001224465

Growth of aggregate corporate earnings and cash-flows : persistence and determinants

Kryzanowski, Lawrence; Mohsni, Sana - In: International review of economics & finance : IREF 25 (2013), pp. 13-23

Persistent link: https://www.econbiz.de/10009693342

Informed traders of cross-listed shares trade more in the domestic market around earnings releases

Kryzanowski, Lawrence; Lazrak, Skander - In: Review of quantitative finance and accounting 36 (2011) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10009271392

Persistence and current determinants of the future earnings growth rates of firms

Kryzanowski, Lawrence; Mohsni, Sana - In: The European journal of finance 20 (2014) 1/3, pp. 181-200

Persistent link: https://www.econbiz.de/10010462127

Earnings forecasts and idiosyncratic volatilities

Kryzanowski, Lawrence; Mohsni, Sana - In: International review of financial analysis 41 (2015), pp. 107-123

Persistent link: https://www.econbiz.de/10011508613

Are idiosyncratic volatility and MAX priced in the Canadian market?

Aboulamer, Anas; Kryzanowski, Lawrence - In: Journal of empirical finance 37 (2016), pp. 20-36

Persistent link: https://www.econbiz.de/10011662897