Jay Shanken
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Shanken, Jay, 1985.
"Multivariate tests of the zero-beta CAPM,"
Journal of Financial Economics, Elsevier, vol. 14(3), pages 327-348, September.
Mentioned in:
- Who is the Father of Low Volatility Investing?
by Eric Falkenstein in Falkenblog on 2011-12-29 03:45:00
- Who is the Father of Low Volatility Investing?
Working papers
- Francisco Barillas & Jay Shanken, 2015.
"Which Alpha?,"
NBER Working Papers
21698, National Bureau of Economic Research, Inc.
- Francisco Barillas & Jay Shanken, 2017. "Which Alpha?," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1316-1338.
Cited by:
- Ball, Ray & Gerakos, Joseph & Linnainmaa, Juhani T. & Nikolaev, Valeri, 2016. "Accruals, cash flows, and operating profitability in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 121(1), pages 28-45.
- Kent Daniel & David Hirshleifer & Lin Sun, 2020.
"Short- and Long-Horizon Behavioral Factors,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1673-1736.
- Kent Daniel & David Hirshleifer & Lin Sun, 2017. "Short- and Long-Horizon Behavioral Factors," NBER Working Papers 24163, National Bureau of Economic Research, Inc.
- Alex R. Horenstein, 2017. "Betting Against Alpha," Working Papers 2017-13, University of Miami, Department of Economics.
- Lin, Qi, 2017. "Noisy prices and the Fama–French five-factor asset pricing model in China," Emerging Markets Review, Elsevier, vol. 31(C), pages 141-163.
- Guo, Bin & Zhang, Wei & Zhang, Yongjie & Zhang, Han, 2017. "The five-factor asset pricing model tests for the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 84-106.
- Francisco Barillas & Jay Shanken, 2015.
"Comparing Asset Pricing Models,"
NBER Working Papers
21771, National Bureau of Economic Research, Inc.
- Francisco Barillas & Jay Shanken, 2018. "Comparing Asset Pricing Models," Journal of Finance, American Finance Association, vol. 73(2), pages 715-754, April.
Cited by:
- Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020.
"Taming the Factor Zoo: A Test of New Factors,"
CEPR Discussion Papers
14266, C.E.P.R. Discussion Papers.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020. "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
- Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2017.
"Too Good to Be True? Fallacies in Evaluating Risk Factor Models,"
FRB Atlanta Working Paper
2017-9, Federal Reserve Bank of Atlanta.
- Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2019. "Too good to be true? Fallacies in evaluating risk factor models," Journal of Financial Economics, Elsevier, vol. 132(2), pages 451-471.
- Zhang, Xiang & Liu, Yangyi & Wu, Kun & Maillet, Bertrand, 2021.
"Tradable or nontradable factors—what does the Hansen–Jagannathan distance tell us?,"
International Review of Economics & Finance, Elsevier, vol. 71(C), pages 853-879.
- Xiang Zhang & Yangyi Liu & Kun Wu & Bertrand Maillet, 2021. "Tradable or nontradable factors : what does the Hansen–Jagannathan distance tell us?," Post-Print hal-03287946, HAL.
- Chen, Lemeng & Lazrak, Skander & Wang, Yan & Welch, Robert, 2019. "Pure momentum is priced," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 75-89.
- Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
- Hollstein, Fabian, 2022. "The world of anomalies: Smaller than we think?," Journal of International Money and Finance, Elsevier, vol. 129(C).
- Ping‐Wen Sun & Yifan Shen & Meifen Qian & Wu Yan, 2021. "Risk of holding stocks with liquidity sensitive to market uncertainty: evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1993-2029, April.
- Cujean, Julien & Andrei, Daniel & Fournier, Mathieu, 2019. "The Low-Minus-High Portfolio and the Factor Zoo," CEPR Discussion Papers 14153, C.E.P.R. Discussion Papers.
- González-Sánchez, Mariano, 2022. "Factorial asset pricing models using statistical anomalies," Research in International Business and Finance, Elsevier, vol. 60(C).
- Maysam Khodayari Gharanchaei & Prabhu Prasad Panda & Xilin Chen, 2024. "Quantitative Investment Diversification Strategies via Various Risk Models," Papers 2407.01550, arXiv.org.
- Jianan Liu & Robert F. Stambaugh & Yu Yuan, 2018.
"Size and Value in China,"
NBER Working Papers
24458, National Bureau of Economic Research, Inc.
- Liu, Jianan & Stambaugh, Robert F. & Yuan, Yu, 2019. "Size and value in China," Journal of Financial Economics, Elsevier, vol. 134(1), pages 48-69.
- Victor Olkhov, 2022. "Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model," Papers 2204.07506, arXiv.org, revised Mar 2024.
- Chen, Rongda & Yu, Jingjing & Jin, Chenglu & Bao, Weiwei, 2019. "Internet finance investor sentiment and return comovement," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 151-161.
- Ahmed, Shamim & Bu, Ziwen & Symeonidis, Lazaros & Tsvetanov, Daniel, 2023. "Which factor model? A systematic return covariation perspective," Journal of International Money and Finance, Elsevier, vol. 136(C).
- Lin, Qi, 2019. "Residual momentum and the cross-section of stock returns: Chinese evidence," Finance Research Letters, Elsevier, vol. 29(C), pages 206-215.
- Gregory Nazaire & Maria Pacurar & Oumar Sy, 2020. "Betas versus characteristics: A practical perspective," European Financial Management, European Financial Management Association, vol. 26(5), pages 1385-1413, November.
- Mohrschladt, Hannes, 2021. "The ordering of historical returns and the cross-section of subsequent returns," Journal of Banking & Finance, Elsevier, vol. 125(C).
- Hendriock, Mario, 2020. "Implied cost of capital and mutual fund performance," CFR Working Papers 20-11, University of Cologne, Centre for Financial Research (CFR).
- Svetlana Bryzgalova & Jiantao Huang & Christian Julliard, 2023.
"Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models,"
Journal of Finance, American Finance Association, vol. 78(1), pages 487-557, February.
- Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2020. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 118924, London School of Economics and Political Science, LSE Library.
- Oehler, Andreas & Horn, Matthias & Wendt, Stefan, 2020. "Information Illusion: Placebic Information and Stock Price Estimates," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224575, Verein für Socialpolitik / German Economic Association.
- Jonathan Fletcher, 2024. "AN examination of linear factor models in U.K. stock returns in the presence of dynamic trading," Review of Quantitative Finance and Accounting, Springer, vol. 63(3), pages 1121-1147, October.
- Constantinos Kardaras & Hyeng Keun Koo & Johannes Ruf, 2022. "Estimation of growth in fund models," Papers 2208.02573, arXiv.org.
- Long, Huaigang & Chiah, Mardy & Zaremba, Adam & Umar, Zaghum, 2024. "Changes in shares outstanding and country stock returns around the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
- Solène Collot & Tobias Hemauer, 2021. "A literature review of new methods in empirical asset pricing: omitted-variable and errors-in-variable bias," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(1), pages 77-100, March.
- Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2020.
"Cash Flow News and Stock Price Dynamics,"
Journal of Finance, American Finance Association, vol. 75(4), pages 2221-2270, August.
- Timmermann, Allan & Pettenuzzo, Davide & Sabbatucci, Riccardo, 2019. "Cash Flow News and Stock Price Dynamics," CEPR Discussion Papers 14117, C.E.P.R. Discussion Papers.
- Skočir, Matevž & Lončarski, Igor, 2024. "On the importance of asset pricing factors in the relative valuation," Research in International Business and Finance, Elsevier, vol. 70(PB).
- Andrew Detzel & Robert Novy‐Marx & Mihail Velikov, 2023. "Model Comparison with Transaction Costs," Journal of Finance, American Finance Association, vol. 78(3), pages 1743-1775, June.
- Robert F. Stambaugh & Yu Yuan, 2015.
"Mispricing Factors,"
NBER Working Papers
21533, National Bureau of Economic Research, Inc.
- Robert F. Stambaugh & Yu Yuan, 2017. "Mispricing Factors," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1270-1315.
- Fletcher, Jonathan, 2018. "Bayesian tests of global factor models," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 279-289.
- Sun, Chuanping, 2024. "Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach," Journal of Empirical Finance, Elsevier, vol. 77(C).
- Kanwal Iqbal Khan & Syed M. Waqar Azeem Naqvi & Muhammad Mudassar Ghafoor & Rana Shahid Imdad Akash, 2020. "Sustainable Portfolio Optimization with Higher-Order Moments of Risk," Sustainability, MDPI, vol. 12(5), pages 1-14, March.
- Lu Zhang, 2017.
"The Investment CAPM,"
NBER Working Papers
23226, National Bureau of Economic Research, Inc.
- Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
- Zhang, Lu, 2015. "The Investment CAPM," Working Paper Series 2015-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- David E. Allen & Michael McAleer, 2019. "Drawbacks in the 3-factor approach of Fama and French," Documentos de Trabajo del ICAE 2019-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Xiaozhen Jing & Dezhong Xu & Bin Li & Tarlok Singh, 2024. "Does the U.S. extreme indicator matter in stock markets? International evidence," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-27, December.
- Lanfear, Matthew G. & Lioui, Abraham & Siebert, Mark G., 2019. "Market anomalies and disaster risk: Evidence from extreme weather events," Journal of Financial Markets, Elsevier, vol. 46(C).
- Guillermo Badía & Luis Ferruz & Maria Céu Cortez, 2021. "The performance of social responsible investing from retail investors' perspective: international evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6074-6088, October.
- Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
- Christina C. Bartenschlager & Jens O. Brunner, 2019. "Reaching for the stars: attention to multiple testing problems and method recommendations using simulation for business research," Journal of Business Economics, Springer, vol. 89(4), pages 447-479, June.
- Mark Kamstra & Ruoyao Shi, 2021. "A Note on the GRS Test," Working Papers 202111, University of California at Riverside, Department of Economics.
- Dunbar, Kwamie & Owusu-Amoako, Johnson, 2022. "Cryptocurrency returns under empirical asset pricing," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Allen, David, 2022. "Asset Pricing Tests, Endogeneity issues and Fama-French factors," MPRA Paper 113610, University Library of Munich, Germany.
- Chiang, I-Hsuan Ethan & Liao, Yin & Zhou, Qing, 2021. "Modeling the cross-section of stock returns using sensible models in a model pool," Journal of Empirical Finance, Elsevier, vol. 60(C), pages 56-73.
- Hanauer, Matthias X. & Lauterbach, Jochim G., 2019. "The cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 38(C), pages 265-286.
- Francisco Barillas & Jay Shanken, 2015.
"Which Alpha?,"
NBER Working Papers
21698, National Bureau of Economic Research, Inc.
- Francisco Barillas & Jay Shanken, 2017. "Which Alpha?," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1316-1338.
- Kozak, Serhiy & Nagel, Stefan & Santosh, Shrihari, 2020.
"Shrinking the cross-section,"
Journal of Financial Economics, Elsevier, vol. 135(2), pages 271-292.
- Nagel, Stefan & Santosh, Shrihari & Kozak, Serhiy, 2017. "Shrinking the Cross Section," CEPR Discussion Papers 12463, C.E.P.R. Discussion Papers.
- Serhiy Kozak & Stefan Nagel & Shrihari Santosh, 2017. "Shrinking the Cross Section," NBER Working Papers 24070, National Bureau of Economic Research, Inc.
- Sha, Yezhou & Gao, Ran, 2019. "Which is the best: A comparison of asset pricing factor models in Chinese mutual fund industry," Economic Modelling, Elsevier, vol. 83(C), pages 8-16.
- Akhtaruzzaman, Md & Boubaker, Sabri & Chiah, Mardy & Zhong, Angel, 2021.
"COVID−19 and oil price risk exposure,"
Finance Research Letters, Elsevier, vol. 42(C).
- Md Akhtaruzzaman & Sabri Boubaker & Mardy Chiah & Angel Zhong, 2021. "COVID−19 and oil price risk exposure," Post-Print hal-04455591, HAL.
- Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
- Massa, Massimo & O'Donovan, James & Zhang, Hong, 2022. "International asset pricing with strategic business groups1," Journal of Financial Economics, Elsevier, vol. 145(2), pages 339-361.
- Peterburgsky, Stanley, 2024. "Size, value and volatility," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 752-763.
- Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2014.
"Which Factors?,"
NBER Working Papers
20682, National Bureau of Economic Research, Inc.
- Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019. "Which Factors?," Review of Finance, European Finance Association, vol. 23(1), pages 1-35.
- Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
- Chou, Pin-Huang & Ko, Kuan-Cheng & Rhee, S. Ghon, 2023. "Comparing competing factor and characteristics models: Evidence in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
- Lin, Qi & Lin, Xi, 2019. "Expected profitability and the cross-section of stock returns," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
- Mbengue, Mohamed Lamine & Ndiaye, Bara & Sy, Oumar, 2023. "Which factors explain African stock returns?," Finance Research Letters, Elsevier, vol. 54(C).
- Hansen, Erwin, 2022. "Economic evaluation of asset pricing models under predictability," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 50-66.
- Yin, Libo & Wei, Ya & Han, Liyan, 2020. "Firms' profit instability and the cross-section of stock returns: Evidence from China," Research in International Business and Finance, Elsevier, vol. 53(C).
- Loic Mar'echal & Nathan Monnet, 2024. "Disentangling the sources of cyber risk premia," Papers 2409.08728, arXiv.org.
- Zhang, Qun & Zhang, Peihui & Liu, Hao, 2023. "Does expected idiosyncratic skewness of firms' profit predict the cross-section of stock returns? Evidence from China," Research in International Business and Finance, Elsevier, vol. 64(C).
- Lei, Jian, 2021. "Curve momentum in currency markets," Finance Research Letters, Elsevier, vol. 42(C).
- Borup, Daniel, 2019. "Asset pricing model uncertainty," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 166-189.
- Hanauer, Matthias X. & Jansen, Maarten & Swinkels, Laurens & Zhou, Weili, 2024. "Factor models for Chinese A-shares," International Review of Financial Analysis, Elsevier, vol. 91(C).
- Fletcher, Jonathan, 2019. "Model comparison tests of linear factor models in U.K. stock returns," Finance Research Letters, Elsevier, vol. 28(C), pages 281-291.
- Qiao, Zhuo & Wang, Yan & Lam, Keith S.K., 2022. "New evidence on Bayesian tests of global factor pricing models," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 160-172.
- Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
- Gospodinov, Nikolay & Robotti, Cesare, 2021. "Common pricing across asset classes: Empirical evidence revisited," Journal of Financial Economics, Elsevier, vol. 140(1), pages 292-324.
- Doron Avramov & Si Cheng & Lior Metzker & Stefan Voigt, 2023. "Integrating Factor Models," Journal of Finance, American Finance Association, vol. 78(3), pages 1593-1646, June.
- Vu Le Tran & Guillaume Coqueret, 2023. "ESG news spillovers across the value chain," Financial Management, Financial Management Association International, vol. 52(4), pages 677-710, December.
- Sehgal, Sanjay & Rakhyani, Sarika & Deisting, Florent, 2022. "Does betting against beta strategy work in major Asian Markets?," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
- Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).
- Yu, Hsin-Yi & Chen, Li-Wen & Chen, Chang-Yi, 2022. "The profitability effect: An evaluation of alternative explanations," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
- Marie Briere & Ariane Szafarz, 2015. "Factor-Based v. Industry-Based Asset Allocation: The Contest," Working Papers CEB 15-035, ULB -- Universite Libre de Bruxelles.
- Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
- Long, Huaigang & Chiah, Mardy & Cakici, Nusret & Zaremba, Adam & Bilgin, Mehmet Huseyin, 2024. "ESG investing in good and bad times: An international study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- Vu Le Tran & Guillaume Coqueret, 2023. "ESG news spillovers across the value chain," Post-Print hal-04325746, HAL.
- Daniel Celeny & Loic Mar'echal, 2024. "Cyber risk and the cross-section of stock returns," Papers 2402.04775, arXiv.org, revised Mar 2024.
- Smith, Simon C., 2022. "Time-variation, multiple testing, and the factor zoo," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Fabozzi, Frank J. & Huang, Dashan & Jiang, Fuwei & Wang, Jiexun, 2024. "What difference do new factor models make in portfolio allocation?," Journal of International Money and Finance, Elsevier, vol. 140(C).
- Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
- Theissen, Erik & Zimmermann, Lukas, 2020. "Do contented customers make shareholders wealthy? Implications of intangibles for security pricing," CFR Working Papers 20-12, University of Cologne, Centre for Financial Research (CFR).
- Olkhov, Victor, 2022. "Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model," MPRA Paper 112255, University Library of Munich, Germany.
- Shafiqur Rahman & Matthew J. Schneider, 2019. "Tests of Alternative Asset Pricing Models Using Individual Security Returns and a New Multivariate F-Test," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-34, March.
- Wahal, Sunil, 2019. "The profitability and investment premium: Pre-1963 evidence," Journal of Financial Economics, Elsevier, vol. 131(2), pages 362-377.
- Lioui, Abraham & Tarelli, Andrea, 2020. "Factor Investing for the Long Run," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
- Kristoffer Pons Bertelsen, 2022. "The Prior Adaptive Group Lasso and the Factor Zoo," CREATES Research Papers 2022-05, Department of Economics and Business Economics, Aarhus University.
- Blitz, David & Hanauer, Matthias X. & Vidojevic, Milan, 2020. "The idiosyncratic momentum anomaly," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 932-957.
- Engsted, Tom & Schneider, Jesper W., 2023. "Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective," SocArXiv nztk8, Center for Open Science.
- Cong, Lin William & George, Nathan Darden & Wang, Guojun, 2023.
"RIM-based value premium and factor pricing using value-price divergence,"
Journal of Banking & Finance, Elsevier, vol. 149(C).
- Lin William Cong & Nathan Darden George & Guojun Wang, 2023. "RIM-Based Value Premium and Factor Pricing Using Value-Price Divergence," NBER Working Papers 30967, National Bureau of Economic Research, Inc.
- Dang, Chao & Chen, Xinyang & Yu, Shengjie & Chen, Rongda & Yang, Yifan, 2022. "Credit ratings of Chinese households using factor scores and K-means clustering method," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 309-320.
- Li, Zhichuan & Minor, Dylan B. & Wang, Jun & Yu, Chong, 2019. "A learning curve of the market: Chasing alpha of socially responsible firms," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
- Kan, Raymond & Wang, Xiaolu & Zheng, Xinghua, 2024. "In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models," Journal of Financial Economics, Elsevier, vol. 155(C).
- Usman Ayub & Samaila Kausar & Umara Noreen & Muhammad Zakaria & Imran Abbas Jadoon, 2020. "Downside Risk-Based Six-Factor Capital Asset Pricing Model (CAPM): A New Paradigm in Asset Pricing," Sustainability, MDPI, vol. 12(17), pages 1-16, August.
- Fletcher, Jonathan, 2021. "Evaluating the performance of U.S. international equity closed-end funds," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
- Muhammad Abdullah & Hussein A. Abdou & Christopher Godfrey & Ahmed A. Elamer & Yousry Ahmed, 2023. "Assessing the Use of Gold as a Zero-Beta Asset in Empirical Asset Pricing: Application to the US Equity Market," JRFM, MDPI, vol. 16(3), pages 1-48, March.
- Allen, D.E. & McAleer, M.J., 2019.
"Drawbacks in the 3-Factor Approach of Fama and French (2018),"
Econometric Institute Research Papers
EI2019-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- David E. Allen & Michael McAleer, 2023. "Drawbacks in the 3-Factor Approach of Fama and French (2018)," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-26, March.
- Kelly, Bryan T. & Pruitt, Seth & Su, Yinan, 2019.
"Characteristics are covariances: A unified model of risk and return,"
Journal of Financial Economics, Elsevier, vol. 134(3), pages 501-524.
- Bryan Kelly & Seth Pruitt & Yinan Su, 2018. "Characteristics Are Covariances: A Unified Model of Risk and Return," NBER Working Papers 24540, National Bureau of Economic Research, Inc.
- Cici, Gjergji & Hendriock, Mario & Kempf, Alexander, 2022. "Finding your calling: Matching skills with jobs in the mutual fund industry," CFR Working Papers 19-05, University of Cologne, Centre for Financial Research (CFR), revised 2022.
- Cristian Andrei Budris & Bogdan Dima, 2024. "Exploring The Fama-French Five Factor Model Within a Time-Varying Parameters Framework," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 16(2), pages 309-357, December.
- Dong, Dayong & Wu, Keke & Fang, Jianchun & Gozgor, Giray & Yan, Cheng, 2022. "Investor attention factors and stock returns: Evidence from China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
- Ilan Cooper & Liang Ma & Paulo Maio, 2022. "What Does the Cross‐Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Moments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 73-118, February.
- Angelidis, Timotheos & Tessaromatis, Nikolaos, 2023. "The disappearing profitability of volatility-managed equity factors," Journal of Financial Markets, Elsevier, vol. 65(C).
- Carrasco, Ignacio & Hansen, Erwin, 2022. "Asset pricing model uncertainty and portfolio choice," Finance Research Letters, Elsevier, vol. 45(C).
- Jeffrey F. Jaffe & Jan Jindra & David J. Pedersen & Torben Voetmann, 2020. "Can mispricing explain the value premium?," Financial Management, Financial Management Association International, vol. 49(3), pages 615-633, September.
- Artur A. Trzebiński, 2022. "Assessing the performance of mutual funds with multifactor asset pricing models," Bank i Kredyt, Narodowy Bank Polski, vol. 53(1), pages 79-106.
- Markus Pelger, 2020. "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, vol. 75(4), pages 2179-2220, August.
- Rudkin, Wanling, 2020. "Mispricing, returns and the quest for parsimony," Finance Research Letters, Elsevier, vol. 37(C).
- Loïc Maréchal, 2023. "A tale of two premiums revisited," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 580-614, May.
- Chen, Dongxu & Wu, Ke & Zhu, Yifeng, 2022. "Stock return asymmetry in China," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
- Fan, Zhenzhen & Paseka, Alexander & Qi, Zhen & Zhang, Qi, 2022. "Currency carry trade: The decline in performance after the 2008 Global Financial Crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
- Virk, Nader Shahzad & Butt, Hilal Anwar, 2022. "Asset pricing anomalies: Liquidity risk hedgers or liquidity risk spreaders?," International Review of Financial Analysis, Elsevier, vol. 81(C).
- Ma, Xiuli & Zhang, Xindong & Liu, Weimin, 2021. "Further tests of asset pricing models: Liquidity risk matters," Economic Modelling, Elsevier, vol. 95(C), pages 255-273.
- Mauro Costantini & Ricardo M. Sousa, 2020. "Consumption, asset wealth, equity premium, term spread, and flight to quality," European Financial Management, European Financial Management Association, vol. 26(3), pages 778-807, June.
- Lambert, Marie & Fays, Boris & Hübner, Georges, 2020. "Factoring characteristics into returns: A clinical study on the SMB and HML portfolio construction methods," Journal of Banking & Finance, Elsevier, vol. 114(C).
- Massa, Massimo & O'Donovan, James & Zhang, Hong, 2021. "International Asset Pricing with Strategic Business Groups," CEPR Discussion Papers 15746, C.E.P.R. Discussion Papers.
- Manuel Galea & David Cademartori & Roberto Curci & Alonso Molina, 2020. "Robust Inference in the Capital Asset Pricing Model Using the Multivariate t -distribution," JRFM, MDPI, vol. 13(6), pages 1-22, June.
- Liao, Wenbin & Du, Jianing & Sun, Ping-Wen, 2020. "Heterogeneous institutional preferences and informativeness: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
- Zaremba, Adam & Maydybura, Alina, 2019. "The cross-section of returns in frontier equity markets: Integrated or segmented pricing?," Emerging Markets Review, Elsevier, vol. 38(C), pages 219-238.
- Huber, Daniel & Jacobs, Heiko & Müller, Sebastian & Preissler, Fabian, 2023. "International factor models," Journal of Banking & Finance, Elsevier, vol. 150(C).
- Raymond Kan & Cesare Robotti & Jay Shanken, 2009.
"Pricing model performance and the two-pass cross-sectional regression methodology,"
FRB Atlanta Working Paper
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"Taming the Factor Zoo: A Test of New Factors,"
CEPR Discussion Papers
14266, C.E.P.R. Discussion Papers.
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Econometric Reviews, Taylor & Francis Journals, vol. 37(7), pages 695-718, August.
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"Business cycles and currency returns,"
Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
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"Macroeconomic Expectations and the Size, Value and Momentum Factors,"
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493, Federal Reserve Bank of New York.
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"Too Good to Be True? Fallacies in Evaluating Risk Factor Models,"
FRB Atlanta Working Paper
2017-9, Federal Reserve Bank of Atlanta.
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Econometric Reviews, Taylor & Francis Journals, vol. 37(7), pages 695-718, August.
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"The Term Structure of Currency Futures' Risk Premia,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 54(1), pages 5-38.
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"Characteristic-Sorted Portfolios: Estimation and Inference,"
The Review of Economics and Statistics, MIT Press, vol. 102(3), pages 531-551, July.
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VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy
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