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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

Accuracy of consensus expectations for top-down earnings share forecasts for two S&P indexes

Chung, Richard; Kryzanowski, Lawrence - In: Applied financial economics 9 (1999) 3, pp. 233-238

Persistent link: https://www.econbiz.de/10001454461

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

Persistent link: https://www.econbiz.de/10001235615

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

Stock returns and consumption factors in the Australian market : cross-sectional tests

Li, Bin; Liu, Benjamin; Roca, Eduardo - In: Australian journal of management 36 (2011) 2, pp. 247-266

Persistent link: https://www.econbiz.de/10009303247

Revisiting the weak-form efficiency of the Australian stock market

Tong, Tong; Li, Bin; Benkato, Omar M. - In: Corporate ownership & control : international … 11 (2013/14) 2, pp. 21-28

Persistent link: https://www.econbiz.de/10011337223

Forecasting stock volatility using after-hour information : evidence from the Australian Stock Exchange

Jayawardena, Nirodha I.; Todorova, Neda; Li, Bin; Su, Jen-je - In: Economic modelling 52 (2016), pp. 592-608

Persistent link: https://www.econbiz.de/10011642932

Stock return predictability in South Africa : the role of major developed markets

Wen, Yi-Chieh; Lin, Philip T.; Li, Bin; Roca, Eduardo - In: Finance research letters 15 (2015), pp. 257-265

Persistent link: https://www.econbiz.de/10011553256

An investigation into the interdependence of global water indices : a VAR analysis

Reza, Rajibur; Tularam, Gurudeo Anand; Li, Bin - In: Applied economics 49 (2017) 8, pp. 769-796

Persistent link: https://www.econbiz.de/10011810888