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The cross-section of volatility and expected returns : then and now
Detzel, Andrew; Duarte, Jefferson; Kamara, Avraham; … - In: Critical finance review 12 (2023) 1/4, pp. 9-56
Persistent link: https://www.econbiz.de/10014370367
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Model comparison with transaction costs
Detzel, Andrew; Novy-Marx, Robert; Velikov, Mihail - In: The journal of finance : the journal of the American … 78 (2023) 3, pp. 1743-1775
Persistent link: https://www.econbiz.de/10014312062
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Do limits to arbitrage explain the benefits of volatility-managed portfolios?
Barroso, Pedro; Detzel, Andrew - In: Journal of financial economics 140 (2021) 3, pp. 744-767
Persistent link: https://www.econbiz.de/10013259593
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High-frequency trading and the execution costs of institutional investors
Brogaard, Jonathan; Hendershott, Terrence; Hunt, Stefan; … - In: The financial review : the official publication of the … 49 (2014) 2, pp. 345-369
Persistent link: https://www.econbiz.de/10010363577
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High-frequency trading and the execution costs of institutional investors
Brogaard, Jonathan; Hendershott, Terrence; Hunt, Stefan; … - 2013
Persistent link: https://www.econbiz.de/10009733285