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Shrinking beta

Blitz, David; Swinkels, Laurens; Ūsaitė, Kristina; … - In: Journal of risk 24 (2022) 6, pp. 25-44

Persistent link: https://www.econbiz.de/10013549669

Hasler, Michael; Khapko, Mariana - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5560-5577

Persistent link: https://www.econbiz.de/10014392946

The impact of network connectivity on factor exposures, asset pricing and portfolio diversification

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017 - This version: October 2016

This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...

Persistent link: https://www.econbiz.de/10011598385

Consumption-based macroeconomic models of asset pricing theory

Đorđević, Marija - In: Economic annals 61 (2016) 211, pp. 7-28

Persistent link: https://www.econbiz.de/10011645391

Can volatility solve the naive portfolio puzzle?

Curran, Michael; O'Sullivan, Patrick; Zalla, Ryan - In: Quantitative finance 23 (2023) 11, pp. 1545-1560

Persistent link: https://www.econbiz.de/10014419177

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - 2020

Persistent link: https://www.econbiz.de/10012317084

A global-optimal portfolio theory beyond the R-σ model

Liua, Yifan; Liang, Shi-Dong - In: Frontiers of economics in China : selected publications … 15 (2020) 1, pp. 124-139

Persistent link: https://www.econbiz.de/10012227506

The impact of network connectivity on factor exposures, asset pricing and portfolio diversification

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - In: Network connectivity, systematic and systemic risk, (pp. 9-51). 2018

Persistent link: https://www.econbiz.de/10012305837

Two trees with heterogeneous beliefs : spillover effect of disagreement

Han, Bing; Lu, Lei; Zhou, Yi - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 4, pp. 1791-1819

Persistent link: https://www.econbiz.de/10012139954

Revisiting the CAPM model with quantile regression : creating investment strategies on the Zagreb Stock Exchange

Škrinjarić, Tihana; Slišković, Marina - In: International journal of economics and business … 19 (2020) 3, pp. 266-289

Persistent link: https://www.econbiz.de/10012205614