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Risk-adjusted valuation for real option decisions

Alexander, Carol; Chen, Xi; Ward, Charles W. R. - In: Journal of economic behavior & organization : JEBO 191 (2021), pp. 1046-1064

Persistent link: https://www.econbiz.de/10013186689

Fundamental indexation revisited : new evidence on alpha

Balatti, Mirco; Brooks, Chris; Kappou, Konstantina - In: International review of financial analysis 51 (2017), pp. 1-15

Persistent link: https://www.econbiz.de/10011868655

Volatility forecasting for risk management

Brooks, Chris; Persand, Gita - In: Journal of forecasting 22 (2003) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10001736943

Idiosyncratic volatility and the pricing of poorly-diversified portfolios

Miffre, Joëlle; Brooks, Chris; Li, Xiafei - In: International review of financial analysis 30 (2013), pp. 78-85

Persistent link: https://www.econbiz.de/10010459997

Commodity risks and the cross-section of equity returns

Brooks, Chris; Miffre, Joëlle; Nneji, Ogonna - In: The British accounting review : the journal of the … 48 (2016) 2, pp. 134-150

Persistent link: https://www.econbiz.de/10011520867

Idiosyncratic Volatility and the Pricing of Poorly-Diversified Portfolios

Miffre, Joëlle - 2015

This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the number of stocks included in the portfolios. This conclusion...

Persistent link: https://www.econbiz.de/10013037940