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Practical Applications of Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets.
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- Journal of Portfolio Management, 2014, p. 20
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- Article
Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets.
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- Journal of Portfolio Management, 2013, v. 39, n. 2, p. 101, doi. 10.3905/jpm.2013.39.2.101
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- Article
Liquidity Shocks and Stock Market Reactions.
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- Review of Financial Studies, 2014, v. 27, n. 5, p. 1434, doi. 10.1093/rfs/hht074
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- Article
Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
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- Review of Financial Studies, 2012, v. 25, n. 10, p. 3000, doi. 10.1093/rfs/hhs094
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- Article
Is there a risk–return trade-off? Evidence from high-frequency data.
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- Journal of Applied Econometrics, 2006, v. 21, n. 8, p. 1169, doi. 10.1002/jae.911
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- Article
Value Uncertainty.
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- Management Science, 2024, v. 70, n. 7, p. 4548, doi. 10.1287/mnsc.2023.4888
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- Article
Unusual News Flow and the Cross Section of Stock Returns.
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- Management Science, 2018, v. 64, n. 9, p. 4137, doi. 10.1287/mnsc.2017.2726
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- Article
Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns.
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- Management Science, 2017, v. 63, n. 11, p. 3760, doi. 10.1287/mnsc.2016.2536
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- Article
The Conditional Beta and the Cross-Section of Expected Returns.
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- Financial Management (Wiley-Blackwell), 2009, v. 38, n. 1, p. 103, doi. 10.1111/j.1755-053X.2009.01030.x
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- Publication type:
- Article
Risk Measurement Performance of Alternative Distribution Functions.
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- Journal of Risk & Insurance, 2008, v. 75, n. 2, p. 411, doi. 10.1111/j.1539-6975.2008.00266.x
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- Article
Inferring Aggregate Market Expectations from the Cross Section of Stock Prices.
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- Journal of Financial & Quantitative Analysis, 2024, v. 59, n. 3, p. 1064, doi. 10.1017/S0022109023000455
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- Publication type:
- Article
The Macroeconomic Uncertainty Premium in the Corporate Bond Market—Corrigendum.
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- 2023
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- Correction Notice
Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows?
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- Journal of Financial & Quantitative Analysis, 2021, v. 56, n. 6, p. 2136, doi. 10.1017/S0022109020000794
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- Article
The Macroeconomic Uncertainty Premium in the Corporate Bond Market.
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- Journal of Financial & Quantitative Analysis, 2021, v. 56, n. 5, p. 1653, doi. 10.1017/S0022109020000538
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- Publication type:
- Article
Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility.
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- Journal of Financial & Quantitative Analysis, 2020, v. 55, n. 7, p. 2150, doi. 10.1017/S0022109019000619
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- Article
A Lottery-Demand-Based Explanation of the Beta Anomaly.
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- Journal of Financial & Quantitative Analysis, 2017, v. 52, n. 6, p. 2369, doi. 10.1017/S0022109017000928
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- Publication type:
- Article
Risk, Uncertainty, and Expected Returns.
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- Journal of Financial & Quantitative Analysis, 2016, v. 51, n. 3, p. 707, doi. 10.1017/S0022109016000417
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- Article
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
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- Journal of Financial & Quantitative Analysis, 2013, v. 48, p. 1
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- Publication type:
- Article
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
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- Journal of Financial & Quantitative Analysis, 2013, v. 48, n. 4, p. 1145, doi. 10.1017/S0022109013000410
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- Publication type:
- Article
Is There an Intertemporal Relation between Downside Risk and Expected Returns?
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- Journal of Financial & Quantitative Analysis, 2009, v. 44, n. 4, p. 883, doi. 10.1017/S0022109009990159
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- Publication type:
- Article
Aggregate Earnings, Firm-Level Earnings, and Expected Stock Returns.
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- Journal of Financial & Quantitative Analysis, 2008, v. 43, n. 3, p. 657, doi. 10.1017/S0022109000004245
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- Publication type:
- Article
Idiosyncratic Volatility and the Cross Section of Expected Returns.
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- Journal of Financial & Quantitative Analysis, 2008, v. 43, n. 1, p. 29, doi. 10.1017/S002210900000274X
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- Publication type:
- Article
Does Idiosyncratic Risk Really Matter?
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- Journal of Finance (Wiley-Blackwell), 2005, v. 60, n. 2, p. 905, doi. 10.1111/j.1540-6261.2005.00750.x
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- Publication type:
- Article
Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions.
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- Annals of Operations Research, 2007, v. 151, n. 1, p. 151, doi. 10.1007/s10479-006-0116-6
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- Publication type:
- Article
A conditional-SGT-VaR approach with alternative GARCH models.
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- Annals of Operations Research, 2007, v. 151, n. 1, p. 241, doi. 10.1007/s10479-006-0118-4
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- Publication type:
- Article
Estimating the Term Structure of Interest Rate Volatility in Extreme Values.
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- Journal of Fixed Income, 2001, v. 10, n. 4, p. 7, doi. 10.3905/jfi.2001.319279
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- Publication type:
- Article
Implementation of the BDT Model with Different Volatility Estimators: Applications to Eurodollar Futures Options.
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- Journal of Fixed Income, 1999, v. 8, n. 4, p. 24, doi. 10.3905/jfi.1999.319242
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- Publication type:
- Article
Option Return Predictability with Machine Learning and Big Data.
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- Review of Financial Studies, 2023, v. 36, n. 9, p. 3548, doi. 10.1093/rfs/hhad017
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- Publication type:
- Article
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.
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- Journal of Financial Econometrics, 2017, v. 15, n. 3, p. 413, doi. 10.1093/jjfinec/nbw015
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- Publication type:
- Article
ASYMMETRIC CRIME CYCLES.
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- Review of Economics & Statistics, 2010, v. 92, n. 4, p. 899, doi. 10.1162/REST_a_00048
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- Publication type:
- Article
Lottery demand, lottery factor, and anomalies.
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- Review of Financial Economics, 2023, v. 41, n. 4, p. 392, doi. 10.1002/rfe.1187
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- Publication type:
- Article
Hedge funds and the positive idiosyncratic volatility effect.
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- Review of Finance, 2024, v. 28, n. 5, p. 1611, doi. 10.1093/rof/rfae022
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- Publication type:
- Article
Corporate Financing Activities and Contrarian Investment*.
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- Review of Finance, 2010, v. 14, n. 3, p. 543, doi. 10.1093/rof/rfp012
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- Article
A new look at hedging with derivatives: Will firms reduce market risk exposure?
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- Journal of Futures Markets, 2007, v. 27, n. 11, p. 1053, doi. 10.1002/fut.20286
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- Publication type:
- Article
Testing mean reversion in financial market volatility: Evidence from S&P 500 index futures.
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- Journal of Futures Markets, 2008, v. 28, n. 1, p. 1, doi. 10.1002/fut.20273
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- Publication type:
- Article
A comparative study of alternative extreme-value volatility estimators.
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- Journal of Futures Markets, 2005, v. 25, n. 9, p. 873, doi. 10.1002/fut.20169
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- Publication type:
- Article
EXCESSIVE VARIATION IN RISK-FACTOR CORRELATION AND VOLATILITIES.
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- Journal of Futures Markets, 2002, v. 22, n. 12, p. 1119, doi. 10.1002/fut.10049
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- Publication type:
- Article
MODELING THE CONDITIONAL MEAN AND VARIANCE OF THE SHORT RATE USING DIFFUSION, GARCH, AND MOVING AVERAGE MODELS.
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- Journal of Futures Markets, 2000, v. 20, n. 8, p. 717, doi. 10.1002/1096-9934(200009)20:8<717::AID-FUT2>3.0.CO;2-A
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- Publication type:
- Article
PRICING EURODOLLAR FUTURES OPTIONS USING THE BDT TERM STRUCTURE MODEL: THE EFFECT OF YIELD CURVE SMOOTHING.
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- Journal of Futures Markets, 2000, v. 20, n. 3, p. 293, doi. 10.1002/(SICI)1096-9934(200003)20:3<293::AID-FUT5>3.0.CO;2-4
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- Publication type:
- Article
AN EMPIRICAL COMPARISON OF CONTINUOUS TIME MODELS OF THE SHORT TERM INTEREST RATE.
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- Journal of Futures Markets, 1999, v. 19, n. 7, p. 777, doi. 10.1002/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G
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- Publication type:
- Article
Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate.
- Published in:
- Journal of Financial & Quantitative Analysis, 2000, v. 35, n. 2, p. 191, doi. 10.2307/2676190
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- Publication type:
- Article
Do Hedge Funds Outperform Stocks and Bonds?
- Published in:
- Management Science, 2013, v. 59, n. 8, p. 1887, doi. 10.1287/mnsc.1120.1689
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- Publication type:
- Article
A Generalized Measure of Riskiness.
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- Management Science, 2011, v. 57, n. 8, p. 1406, doi. 10.1287/mnsc.1110.1373
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- Publication type:
- Article
Volatility Spreads and Expected Stock Returns.
- Published in:
- Management Science, 2009, v. 55, n. 11, p. 1797, doi. 10.1287/mnsc.1090.1063
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- Publication type:
- Article
An Extreme Value Approach to Estimating Interest-Rate Volatility: Pricing Implications for Interest-Rate Options.
- Published in:
- Management Science, 2007, v. 53, n. 2, p. 323, doi. 10.1287/mnsc.1060.0628
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- Publication type:
- Article
A Generalized Extreme Value Approach to Financial Risk Measurement.
- Published in:
- Journal of Money, Credit & Banking (Wiley-Blackwell), 2007, v. 39, n. 7, p. 1613, doi. 10.1111/j.1538-4616.2007.00081.x
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- Publication type:
- Article