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Robust Measurement of Beta Risk

Citations

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Cited by:

  1. Gauri Ghai & Maria De Boyrie & Shahid Hamid & Arun Prakash, 2001. "Estimation of global systematic risk for securities listed in multiple markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 117-130.
  2. Brailsford, Timothy J. & Josev, Thomas, 1997. "The impact of the return interval on the estimation of systematic risk," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 357-376, July.
  3. Manfred Gilli & Enrico Schumann, 2012. "Heuristic optimisation in financial modelling," Annals of Operations Research, Springer, vol. 193(1), pages 129-158, March.
  4. Sebastien Valeyre & Sofiane Aboura & Denis Grebenkov, 2019. "The Reactive Beta Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(1), pages 71-113, March.
  5. Prashant Sharma & Prashant Gupta & Anurag Singh, 2016. "Pricing Ability of Four Factor Model using Quantile Regression: Evidences from India," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1815-1826.
  6. Pedro Antonio Martín-Cervantes & María del Carmen Valls Martínez, 2023. "Unraveling the relationship between betas and ESG scores through the Random Forests methodology," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-29, September.
  7. David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions," KIER Working Papers 831, Kyoto University, Institute of Economic Research.
  8. Wagenvoort, Rien, 2007. "Does the hedge fund industry deliver alpha?," Economic and Financial Reports 2006/2, European Investment Bank, Economics Department.
  9. Peter Winker & Marianna Lyra & Chris Sharpe, 2011. "Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model," Computational Management Science, Springer, vol. 8(1), pages 103-123, April.
  10. Michelle Lowry & G. William Schwert, 2001. "Biases in the IPO Pricing Process," NBER Working Papers 8586, National Bureau of Economic Research, Inc.
  11. Nimalendran, M. & Ritter, Jay R. & Zhang, Donghang, 2007. "Do today's trades affect tomorrow's IPO allocations?," Journal of Financial Economics, Elsevier, vol. 84(1), pages 87-109, April.
  12. Josef Schuster & Jinhui Luo, 2003. "Management Behaviour and Market Response," FMG Discussion Papers dp462, Financial Markets Group.
  13. R. Douglas Martin & Daniel Z. Xia, 2022. "Efficient bias robust regression for time series factor models," Journal of Asset Management, Palgrave Macmillan, vol. 23(3), pages 215-234, May.
  14. Lowry, Michelle & Schwert, G. William, 2004. "Is the IPO pricing process efficient?," Journal of Financial Economics, Elsevier, vol. 71(1), pages 3-26, January.
  15. Cable, John & Holland, Kevin, 2000. "Robust vs. OLS estimation of the market model: implications for event studies," Economics Letters, Elsevier, vol. 69(3), pages 385-391, December.
  16. Jones, Steven L. & Yeoman, John C., 2012. "Bias in estimating the systematic risk of extreme performers: Implications for financial analysis, the leverage effect, and long-run reversals," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 1-21.
  17. Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
  18. Theodossiou, Alexandra K. & Theodossiou, Panayiotis, 2014. "Stock return outliers and beta estimation: The case of U.S. pharmaceutical companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 153-171.
  19. Mackley, James R.K., 2008. "European 3G auctions: Using a comparative event study to search for a winner's curse," Utilities Policy, Elsevier, vol. 16(4), pages 275-283, December.
  20. Andrea J. Heuson & Mark C. Hutchinson & Alok Kumar, 2020. "Predicting hedge fund performance when fund returns are skewed," Financial Management, Financial Management Association International, vol. 49(4), pages 877-896, December.
  21. Edelen, Roger M., 1999. "Investor flows and the assessed performance of open-end mutual funds," Journal of Financial Economics, Elsevier, vol. 53(3), pages 439-466, September.
  22. Attila Odabasl & Celal Asku & Vedat Akgiray, 2004. "The statistical evolution of prices on the Istanbul stock exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 10(6), pages 510-525.
  23. David Cademartori & Cecilia Romo & Ricardo Campos & Manuel Galea, 2003. "Robust estimation of systematic risk using the t distribution in the chilean stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 10(7), pages 447-453.
  24. Josef Schuster, 2003. "The Cross-Section of European IPO Returns," FMG Discussion Papers dp460, Financial Markets Group.
  25. Schuster, Josef Anton, 2003. "IPOs: insights from seven European countries," LSE Research Online Documents on Economics 24860, London School of Economics and Political Science, LSE Library.
  26. Krishnaswami, Sudha & Subramaniam, Venkat, 1999. "Information asymmetry, valuation, and the corporate spin-off decision," Journal of Financial Economics, Elsevier, vol. 53(1), pages 73-112, July.
  27. de Zwart, G.J. & van Dijk, D.J.C., 2008. "The Inefficient Use of Macroeconomic Information in Analysts' Earnings Forecasts in Emerging Markets," ERIM Report Series Research in Management ERS-2008-007-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  28. Schuster, Josef Anton, 2003. "The cross-section of European IPO returns," LSE Research Online Documents on Economics 24859, London School of Economics and Political Science, LSE Library.
  29. David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013. "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers 13-020/III, Tinbergen Institute.
  30. Bernard, Carole & Czado, Claudia, 2015. "Conditional quantiles and tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 104-126.
  31. Jasman Tuyon & Zamri Ahmad, 2021. "Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5793-5814, October.
  32. James B. McDonald & Richard A. Michelfelder & Panayiotis Theodossiou, 2009. "Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application," Multinational Finance Journal, Multinational Finance Journal, vol. 13(3-4), pages 293-321, September.
  33. Schuster, Josef Anton & Luo, Jinhui, 2003. "Management behaviour and market response," LSE Research Online Documents on Economics 24861, London School of Economics and Political Science, LSE Library.
  34. Yang, Chunpeng & Hu, Xiaoyi, 2021. "Individual stock sentiment beta and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  35. Haensly, Paul J., 2020. "Risk decomposition, estimation error, and naïve diversification," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  36. Hans Dillen & Bo Stoltz, 1999. "The distribution of stock market returns and the market model," Finnish Economic Papers, Finnish Economic Association, vol. 12(1), pages 41-56, Spring.
  37. James Mcdonald & Richard Michelfelder & Panayiotis Theodossiou, 2010. "Robust estimation with flexible parametric distributions: estimation of utility stock betas," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 375-387.
  38. Zhao, Xinge, 2004. "Why are some mutual funds closed to new investors?," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1867-1887, August.
  39. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.
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