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Role of size and risk effects in value anomaly : evidence from the Indian stock market

Sharma, Mehak; Jain, Anshul - In: Cogent economics & finance 8 (2020) 1, pp. 1-12

Value Anomaly exists in India, but with growth portfolios outperforming value. A critical analysis reveals possible linkages …

Persistent link: https://www.econbiz.de/10013179656

A tale of two anomalies : higher returns of low-risk stocks and return seasonality

Fiore, Christopher; Saha, Atanu - In: The financial review : the official publication of the … 50 (2015) 2, pp. 257-273

Persistent link: https://www.econbiz.de/10011282741

Time variation in systematic risk, returns and trading volume : evidence from precious metals mining stocks

Ciner, Cetin - In: International review of financial analysis 41 (2015), pp. 277-283

Persistent link: https://www.econbiz.de/10011508966

Time-varying systematic risk for style investment : evidence from global stock markets

Liau, Yung-Shi - In: The empirical economics letters : a monthly … 17 (2018) 7, pp. 921-930

Persistent link: https://www.econbiz.de/10011992821

Earnings-consumption betas and stock valuation

Bergeron, Claude; Gueyie, Jean-Pierre; Sedzro, Komlan - In: American journal of finance and accounting 5 (2018) 2, pp. 151-172

Persistent link: https://www.econbiz.de/10011966800

The time variation of liquidity risk in US stock markets

Ludwig, Michael - In: Credit and capital markets : Kredit und Kapital 51 (2018) 2, pp. 205-225

Persistent link: https://www.econbiz.de/10011946201

Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913

New evidence on conditional factor models

Cooper, Ilan; Maio, Paulo - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 5, pp. 1975-2016

Persistent link: https://www.econbiz.de/10012140056

New Evidence on Conditional Factor Models

Cooper, Ilan - 2018

We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies …

Persistent link: https://www.econbiz.de/10012937406

Determinant of Stock Systematic Risks

Pasaribu, Rowland Bismark - 2017

This study aims to analyze and test empirically the influence of corporate financial performance against systematic risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial performance did not significantly affect the systematic risk of the...

Persistent link: https://www.econbiz.de/10012942864