Similar Search Results

Stock markets and real-time macroeconomic data

Hartmann, Daniel - 2007

Persistent link: https://www.econbiz.de/10003516924

Low-Frequency volatility of real estate securities in relation to macroeconomic risk

Lee, Chyi Lin; Stevenson, Simon; Lee, Ming-Long - 2015

Persistent link: https://www.econbiz.de/10011295730

Variances and covariances of international stock returns : the international CAPM revisited

Ramchand, Latha; Susmel, Raul - 1997

Persistent link: https://www.econbiz.de/10001486868

Variances and covariances of international stock returns : the international capital asset pricing model revisited

Ramchand, Latha - In: Journal of international financial markets, … 8 (1998) 1, pp. 39-57

Persistent link: https://www.econbiz.de/10001246202

Volatility-Managing International Equity Risk Factors

Grobys, Klaus - 2018

Recent research (see Moreira and Muir, 2017) suggests that volatility-managed portfolios take less risk when volatility … is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We … extend this literature by investigating the profitability of volatility-managing the Fama and French (2017) local risk …

Persistent link: https://www.econbiz.de/10012925634