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Bad beta good beta, state-space news decomposition and the cross-section of stock returns

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  • Kent Wang
  • Jiawei Li
  • Shicheng Huang

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  • Kent Wang & Jiawei Li & Shicheng Huang, 2013. "Bad beta good beta, state-space news decomposition and the cross-section of stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 587-607, June.
    • Handle: RePEc:bla:acctfi:v:53:y:2013:i:2:p:587-607
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    File URL: http://hdl.handle.net/10.1111/j.1467-629X.2012.00470.x
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    Cited by:

    1. Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2021. "Market news co-moments and currency returns," Empirical Economics, Springer, vol. 61(4), pages 1819-1863, October.

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