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Yet another ACD model : the autoregressive conditional directional duration (ACDD) model
Jeyasreedharan, Nagaratnam; Allen, David E.; Yang, Wenling - In: Annals of financial economics 9 (2014) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10010489145
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SMB : arousal, disproportionate reactions and the size-premium
Durand, Robert B.; Juricev, Alex; Smith, Gary W. - In: Pacific-Basin finance journal 15 (2007) 4, pp. 315-328
Persistent link: https://www.econbiz.de/10003602761
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Decomposing the size, value and momentum premia of the Fama-French-Carhart four-factor model
Rath, Subhrendu; Durand, Robert B. - In: Economics letters 132 (2015), pp. 139-141
Persistent link: https://www.econbiz.de/10011431572
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A robustness test of asset-pricing models using individual security returns
Manapon Limkriangkrai; Durand, Robert B.; Watson, Iain D. - In: Applied economics letters 16 (2009) 4/6, pp. 629-637
Persistent link: https://www.econbiz.de/10003842983
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Transaction duration and asymmetric price impact of trades : evidence from Australia
Yang, Joey Wenling - In: Journal of empirical finance 18 (2011) 1, pp. 91-102
Persistent link: https://www.econbiz.de/10009301172