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Xue, Yanfeng; Zhang, May H. - In: Journal of business finance & accounting : JBFA 38 (2011) 9/10, pp. 1156-1183

Persistent link: https://www.econbiz.de/10009419327

Heterogeneous expectations in asset pricing : empirical evidence from the S&P500

Chiarella, Carl; He, Xue-zhong; Zwinkels, Remco C. J. - In: Journal of economic behavior & organization : JEBO 105 (2014), pp. 1-16

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M-Squared and ranking issues for risky assets

Baigent, G. Glenn - In: Applied economics letters 22 (2015) 4/6, pp. 247-250

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Industry-based style investing

Jame, Russell; Tong, Qing - In: Journal of financial markets 19 (2014), pp. 110-130

Persistent link: https://www.econbiz.de/10010442413

Asymmetric beta comovement and systematic downside risk

Jondeau, Eric; Zhang, Qunzi - 2014

In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...

Persistent link: https://www.econbiz.de/10010442899