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ETFs, Anomalies and Market Efficiency
Filippou, Ilias; He, Songrun; Li, Sophia Zhengzi; Zhou, … - 2022
We investigate the effect of ETF ownership on stock market anomalies and market efficiency. We find that low ETF ownership stocks exhibit higher returns, greater Sharpe ratios, and highly significant alphas in comparison to high ETF ownership stocks. We show that high ETF ownership stocks...
Persistent link: https://www.econbiz.de/10013293722
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Security factors as linear combinations of economic variables
Zhou, Guofu - In: Journal of financial markets 2 (1999) 3, pp. 403-432
Persistent link: https://www.econbiz.de/10001426717
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Asset-pricing tests under alternative distributions
Zhou, Guofu - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1927-1942
Persistent link: https://www.econbiz.de/10001155917
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How much stock return predictability can we expect from an asset pricing model?
Zhou, Guofu - In: Economics letters 108 (2010) 2, pp. 184-186
Persistent link: https://www.econbiz.de/10008699206
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What determines expected international asset retuns [returns]?
Solnik, Bruno; Harvey, Campbell R.; Zhou, Guofu - 1994
Persistent link: https://www.econbiz.de/10000897108
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What determines expected international asset returns?
Harvey, Campbell R. - 1994
Persistent link: https://www.econbiz.de/10000883653
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Temporary components of stock returns : what do the data tell us?
Lamoureux, Christopher G. - In: The review of financial studies 9 (1996) 4, pp. 1033-1059
Persistent link: https://www.econbiz.de/10001212394
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Tests of mean-variance spanning
Kan, Raymond (contributor); Zhou, Guofu (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001681234
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Investment horizon and the cross section of expected returns : evidence from the Tokyo Stock Exchange
Chou, Pin-huang; Hsu, Yuan-lin; Zhou, Guofu - In: Annals of economics and finance 1 (2000) 1, pp. 79-100
Persistent link: https://www.econbiz.de/10001731829
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What determines expected international asset returns?
Harvey, Campbell R.; Solnik, Bruno; Zhou, Guofu - In: Annals of economics and finance 3 (2002) 2, pp. 249-298
Persistent link: https://www.econbiz.de/10001731925