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Extra-Market Components of Covariance in Security Returns

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Cited by:

  1. Dumas, Bernard & Gabuniya, Tymur & Marston, Richard C., 2022. "Firms’ exposures to geographic risks," Journal of International Money and Finance, Elsevier, vol. 122(C).
  2. John B. Guerard & Ganlin Xu & Harry Markowitz, 2021. "A further analysis of robust regression modeling and data mining corrections testing in global stocks," Annals of Operations Research, Springer, vol. 303(1), pages 175-195, August.
  3. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
  4. Zura Kakushadze, 2015. "Heterotic Risk Models," Papers 1508.04883, arXiv.org, revised Jan 2016.
  5. 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.
  6. John B. Guerard & Harry Markowitz & Ganlin Xu & Ziwei Wang, 2018. "Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth," Annals of Operations Research, Springer, vol. 267(1), pages 203-219, August.
  7. Louis K. C. Chan & Jason Karceski & Josef Lakonishok, 1997. "The Risk and Return from Factors," NBER Working Papers 6098, National Bureau of Economic Research, Inc.
  8. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
  9. John B. Guerard, Jr. & Robert A. Gillam & Harry Markowitz & Ganlin Xu & Shijie Deng & Ziwei (Elaine) Wang, 2018. "Data Mining Corrections Testing in Chinese Stocks," Interfaces, INFORMS, vol. 48(2), pages 108-120, April.
  10. Thomas E. McCue & John L. Kling, 1994. "Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust," Journal of Real Estate Research, American Real Estate Society, vol. 9(3), pages 277-288.
  11. Ledoit, Olivier & Wolf, Michael, 2003. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 603-621, December.
  12. Kazuki Amagai & Tomoya Suzuki, 2023. "Long-Term Modeling of Financial Machine Learning for Active Portfolio Management," Papers 2301.12346, arXiv.org.
  13. Martin Wallmeier, 2000. "Determinanten erwarteter Renditen am deutschen Aktienmarkt — Eine empirische Untersuchung anhand ausgewählter Kennzahlen," Schmalenbach Journal of Business Research, Springer, vol. 52(1), pages 27-57, February.
  14. Ge, S. & Li, S. & Linton, O., 2020. "A Dynamic Network of Arbitrage Characteristics," Cambridge Working Papers in Economics 2060, Faculty of Economics, University of Cambridge.
  15. Vasant Dhar & Anindya Ghose, 2010. "Research Commentary ---Sponsored Search and Market Efficiency," Information Systems Research, INFORMS, vol. 21(4), pages 760-772, December.
  16. Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev, 2023. "Enhancing CVaR portfolio optimisation performance with GAM factor models," Papers 2401.00188, arXiv.org.
  17. Shihao Gu & Bryan Kelly & Dacheng Xiu, 2020. "Empirical Asset Pricing via Machine Learning," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2223-2273.
  18. Ding, Zhuanxin & Martin, R. Douglas, 2017. "The fundamental law of active management: Redux," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 91-114.
  19. Li, Kunpeng & Li, Qi & Lu, Lina, 2018. "Quasi maximum likelihood analysis of high dimensional constrained factor models," Journal of Econometrics, Elsevier, vol. 206(2), pages 574-612.
  20. Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe de Peretti & Christophe Chorro, 2019. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02354596, HAL.
  21. Dai, Chaoxing & Lu, Kun & Xiu, Dacheng, 2019. "Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data," Journal of Econometrics, Elsevier, vol. 208(1), pages 43-79.
  22. Bannouh, K. & Martens, M.P.E. & Oomen, R.C.A. & van Dijk, D.J.C., 2012. "Realized mixed-frequency factor models for vast dimensional covariance estimation," ERIM Report Series Research in Management ERS-2012-017-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.
  23. Markowitz, Harry M, 1991. "Foundations of Portfolio Theory," Journal of Finance, American Finance Association, vol. 46(2), pages 469-477, June.
  24. Lucas, Andre & van Dijk, Ronald & Kloek, Teun, 2002. "Stock selection, style rotation, and risk," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 1-34, January.
  25. Aydın Ulucan, 2007. "An analysis of mean-variance portfolio selection with varying holding periods," Applied Economics, Taylor & Francis Journals, vol. 39(11), pages 1399-1407.
  26. Clark, Ephraim & Kassimatis, Konstantinos, 2011. "An alternative measure of the "world market portfolio": Determinants, efficiency, and information content," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 724-748, September.
  27. Ma, Tian & Leong, Wen Jun & Jiang, Fuwei, 2023. "A latent factor model for the Chinese stock market," International Review of Financial Analysis, Elsevier, vol. 87(C).
  28. Andrei A. Kirilenko & Andrew W. Lo, 2013. "Moore's Law versus Murphy's Law: Algorithmic Trading and Its Discontents," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 51-72, Spring.
  29. Wayne Ferson & Campbell R. Harvey, 1994. "An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," NBER Chapters, in: The Internationalization of Equity Markets, pages 59-147, National Bureau of Economic Research, Inc.
  30. Guerard, John B. & Markowitz, Harry & Xu, GanLin, 2015. "Earnings forecasting in a global stock selection model and efficient portfolio construction and management," International Journal of Forecasting, Elsevier, vol. 31(2), pages 550-560.
  31. Jon Poynter & James Winder & Tzu Tai, 2015. "An analysis of co-movements in industrial sector indices over the last 30 years," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 69-88, January.
  32. Zura Kakushadze & Willie Yu, 2016. "Statistical Risk Models," Papers 1602.08070, arXiv.org, revised Jan 2017.
  33. Joshua Traut, 2023. "What we know about the low-risk anomaly: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 297-324, September.
  34. Hubeyb Gurdogan & Alec Kercheval, 2021. "Multi Anchor Point Shrinkage for the Sample Covariance Matrix (Extended Version)," Papers 2109.00148, arXiv.org, revised Sep 2021.
  35. Chae, Joon & Lee, Eun Jung, 2018. "Distribution uncertainty and expected stock returns," Finance Research Letters, Elsevier, vol. 25(C), pages 55-61.
  36. Jacquier, Eric & Titman, Sheridan & YalçIn, Atakan, 2010. "Predicting systematic risk: Implications from growth options," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 991-1005, December.
  37. Higgins, Huong, 2013. "Can securities analysts forecast intangible firms’ earnings?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 155-174.
  38. French, Declan & Wu, Yuliang & Li, Youwei, 2016. "Identifying the relative importance of stock characteristics," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 80-91.
  39. Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe De Peretti & Christophe Chorro, 2019. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Documents de travail du Centre d'Economie de la Sorbonne 19022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  40. Brownlees, Christian T., 2019. "Hierarchical GARCH," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 17-27.
  41. Zhi-Long Dong & Fengmin Xu & Yu-Hong Dai, 2020. "Fast algorithms for sparse portfolio selection considering industries and investment styles," Journal of Global Optimization, Springer, vol. 78(4), pages 763-789, December.
  42. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
  43. Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe de Peretti & Christophe Chorro, 2019. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Post-Print halshs-02354596, HAL.
  44. Xia, Hui & Min, Xinyu & Deng, Shijie, 2015. "Effectiveness of earnings forecasts in efficient global portfolio construction," International Journal of Forecasting, Elsevier, vol. 31(2), pages 568-574.
  45. Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.
  46. Gautam Mitra & Frank Ellison & Alan Scowcroft, 2007. "Quadratic programming for portfolio planning: Insights into algorithmic and computational issues," Journal of Asset Management, Palgrave Macmillan, vol. 8(3), pages 200-214, September.
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