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Downside Risk and Long-Horizon Stock Return Reversals

Artavanis, Nikolaos T. - 2013

We argue that long-horizon return reversals [Debondt and Thaler (1985)] reflect a premium for downside risk. Consistent with this, we find that downside betas of past losers are significantly greater than downside betas of past winners, and the inclusion of downside beta in Fama-Macbeth...

Persistent link: https://www.econbiz.de/10013091349

Hedged mutual funds and competition for sources of alpha

Eksi, Asli; Kazemi, Hossein - In: Financial analysts journal : FAJ 78 (2022) 3, pp. 70-93

Persistent link: https://www.econbiz.de/10013362701

On the perils of security pricing by financial intermediaries : the case of open-end mutual funds

Chalmers, John M. R. (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001512298

Mutual fund trading costs

Chalmers, John M. R.; Edelen, Roger M.; Kadlec, Gregory B. - 1999

Persistent link: https://www.econbiz.de/10001440459

The wildcard option in transacting mutual-fund shares

Chalmers, John M. R.; Edelen, Roger M.; Kadlec, Gregory B. - 1999

Persistent link: https://www.econbiz.de/10001440462

A transactions data analysis of nonsynchronous trading

Kadlec, Gregory B.; Patterson, Douglas M. - In: The review of financial studies 12 (1999) 3, pp. 609-630

Persistent link: https://www.econbiz.de/10001421848

On the perils of financial intermediaries setting security prices : the mutual fund wild card option

Chalmers, John M. R.; Edelen, Roger M.; Kadlec, Gregory B. - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2209-2236

Persistent link: https://www.econbiz.de/10001631745

Corporate events, trading activity, and the estimation of systematic risk : evidence from equity offerings and share repurchases

Denis, David J. - In: The journal of finance : the journal of the American … 49 (1994) 5, pp. 1787-1811

Persistent link: https://www.econbiz.de/10001174959

Disclosure and agency conflict : evidence from mutual fund commission bundling

Edelen, Roger M.; Evans, Richard B.; Kadlec, Gregory B. - In: Journal of financial economics 103 (2012) 2, pp. 308-326

Persistent link: https://www.econbiz.de/10009501373

Shedding light on "invisible" costs : trading costs and mutual fund performance

Edelen, Roger M.; Evans, Richard; Kadlec, Gregory B. - In: Financial analysts' journal : FAJ 69 (2013) 1, pp. 33-44

Persistent link: https://www.econbiz.de/10009711702

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