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Ellahie, Atif - In: Review of accounting studies 26 (2021) 1, pp. 81-122

Persistent link: https://www.econbiz.de/10012498384

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

We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...

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

Consumption, earnings risk, and payout ratios

Bergeron, Claude; Gueyie, Jean-Pierre; Sedzro, Komlan - In: American journal of finance and accounting 6 (2019) 1, pp. 101-118

Persistent link: https://www.econbiz.de/10012250845

The pricing of the illiquidity factor’s conditional risk with time-varying premium

Amihud, Yakov; Noh, Joonki - In: Journal of financial markets 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013282487

An empirical analysis of segmented pricing of bond systematic risk

Benzschawel, Terry; Fu, Liang; Murphy, Austin - In: Credit and capital markets : Kredit und Kapital 47 (2014) 3, pp. 439-464

Persistent link: https://www.econbiz.de/10010433255

Systematic risk and yield premiums in the bond market

Fu, Liang; Murphy, Austin; Benzschawei, Terry - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 1-40

Persistent link: https://www.econbiz.de/10011298058

Measuring the systematic risk of stocks using the capital asset pricing model

John, Abonongo; J., Ackora-Prah; Boateng, Kwasi - In: Journal of investment and management : JIM 6 (2017) 1, pp. 13-21

Persistent link: https://www.econbiz.de/10011780109

Verifying capital asset pricing model in Greek capital market

Khudoykulov, Khurshid - In: International journal of economics and accounting : IJEA 7 (2016) 1, pp. 55-65

Persistent link: https://www.econbiz.de/10011636109

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - In: Applied economics 53 (2021) 55, pp. 6376-6397

Persistent link: https://www.econbiz.de/10012697913

Measuring the stock's factor beta and identifying risk factors under market inefficiency

Semenov, Andrei - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 635-649

Persistent link: https://www.econbiz.de/10012655588