Similar Search Results - EconBiz

Comparative analyses of mean-variance and mean-semivariance approaches on global and local single factor market model for developed and emerging markets

Yildiz, Mehmet Emin; Erzurumlu, Yaman; Kurtulus, Bora - In: International journal of emerging markets 17 (2022) 1, pp. 325-350

Persistent link: https://www.econbiz.de/10012886374

Conditional skewness in asset pricing : 25 years of out-of-sample evidence

Harvey, Campbell R.; Siddique, Akhtar R. - In: Critical finance review 12 (2023) 1/4, pp. 355-366

Persistent link: https://www.econbiz.de/10014370380

Sorting Out Downside Beta

Post, Thierry - 2012

This study analyzes various measures of the downside beta of stocks. Downside beta is sometimes defined and estimated in different ways. Theoretically, an approach based on the mean-semi-variance equilibrium model appears superior. Two known alternative approaches are not consistent with the...

Persistent link: https://www.econbiz.de/10013112836

Sorting out downside beta

Post, Thierry (contributor); … - 2009

Persistent link: https://www.econbiz.de/10008663204

Average drawdown risk and capital asset pricing

Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10010241626

The procyclicality of hedge fund alpha and beta

Racicot, François-Éric; Théoret, Raymond - In: Journal of derivatives & hedge funds 19 (2013) 2, pp. 109-128

Persistent link: https://www.econbiz.de/10010209488

VaR and the cross-section of expected stock returns : an emerging market evidence

Chen, Dar-hsin; Chen, Chun-Da; Wu, Su-chen - In: Journal of business economics and management 15 (2014) 3, pp. 441-459

Persistent link: https://www.econbiz.de/10010376607

Factor high-frequency based volatility (HEAVY) models

Sheppard, Kevin; Xu, Wen - 2014

Persistent link: https://www.econbiz.de/10010365630

An empirical investigation of the book-to-market and size effects

Petkova, Ralitsa - 2003

Persistent link: https://www.econbiz.de/10003385465

Is there a low-risk anomaly across countries?

Zaremba, Adam - In: Eurasian economic review : a journal in applied … 6 (2016) 1, pp. 45-65

Persistent link: https://www.econbiz.de/10011441281

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