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Does the equity premium puzzle persist during financial crisis? : the case of the French equity market

Bellelah, M. A.; Bellelah, M. O.; Ben Ameur, Hachmi; … - In: Research in international business and finance 39 (2017), pp. 851-866

Persistent link: https://www.econbiz.de/10011912395

Time-varying continuous and jump betas : the role of firm characteristics and periods of stress

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Journal of empirical finance 40 (2017), pp. 1-19

Persistent link: https://www.econbiz.de/10011744408

Option implied beta and option return

Ze-To, Samuel Yau Man - In: Applied economics 50 (2018) 2, pp. 128-142

Persistent link: https://www.econbiz.de/10011845923

The profitability of low-volatility

Blitz, David; Vidojevic, Milan - In: Journal of empirical finance 43 (2017), pp. 33-42

Persistent link: https://www.econbiz.de/10011817898

Beta Measurement and Forecasting with High Frequency Returns

Doan, Bao Huy - 2020

measurement and forecasting of variance, covariance, correlation and Capital Asset Pricing Model (CAPM) beta. This paper studies … CAPM beta measurement and forecasting with high frequency returns and evaluates trade-offs between bias and variability … level with the inclusion of a lead and lag in the beta estimation, can result in substantial improvements in the bias and …

Persistent link: https://www.econbiz.de/10012848006

Systematic extreme downside risk

Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist - In: Journal of international financial markets, … 61 (2019), pp. 128-142

Persistent link: https://www.econbiz.de/10012128287

High-frequency factor models and regressions

Aït-Sahalia, Yacine; Kalnina, Ilze; Xiu, Dacheng - In: Journal of econometrics 216 (2020) 1, pp. 86-105

Persistent link: https://www.econbiz.de/10012439640

Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682

earning announcements and releases of macroeconomic news. We find that earnings news increase beta dispersion while FOMC …

Persistent link: https://www.econbiz.de/10012598456

Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique

Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490

Persistent link: https://www.econbiz.de/10012798425

Are standard asset pricing factors long-range dependent?

Auer, Benjamin R. - In: Journal of economics and finance 42 (2018) 1, pp. 66-88

Persistent link: https://www.econbiz.de/10011978140