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Bad Beta, Good Beta

Citations

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Cited by:

  1. Ben S. Bernanke & Kenneth N. Kuttner, 2005. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," Journal of Finance, American Finance Association, vol. 60(3), pages 1221-1257, June.
  2. Auer, Benjamin R., 2013. "Can habit formation under complete market integration explain the cross-section of international equity risk premia?," Review of Financial Economics, Elsevier, vol. 22(2), pages 61-67.
  3. Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
  4. Guo, Hui, 2006. "Time-varying risk premia and the cross section of stock returns," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2087-2107, July.
  5. Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2013. "An evolutionary CAPM under heterogeneous beliefs," Annals of Finance, Springer, vol. 9(2), pages 185-215, May.
  6. Kewei Hou & Chen Xue & Lu Zhang, 2012. "Digesting Anomalies: An Investment Approach," NBER Working Papers 18435, National Bureau of Economic Research, Inc.
  7. Klein, Rudolf F. & Chow, Victor K., 2013. "Orthogonalized factors and systematic risk decomposition," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 175-187.
  8. Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2009. "The Price Is (Almost) Right," Journal of Finance, American Finance Association, vol. 64(6), pages 2739-2782, December.
  9. Victoria Galsband, 2010. "The cross-section of equity returns and assets’ fundamental cash-flow risk," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 327-351, December.
  10. Kroencke, Tim A. & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC Risk Shift," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 21-39.
  11. Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk Is the Worst-Case Scenario," American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
  12. Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
  13. Vasyl Golosnoy, 2018. "Sequential monitoring of portfolio betas," Statistical Papers, Springer, vol. 59(2), pages 663-684, June.
  14. Mike Qinghao Mao & K. C. John Wei, 2016. "Cash-Flow News and the Investment Effect in the Cross Section of Stock Returns," Management Science, INFORMS, vol. 62(9), pages 2504-2519, September.
  15. Bianchi, Francesco, 2020. "The Great Depression and the Great Recession: A view from financial markets," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 240-261.
  16. Chulia-Soler, H. & Martens, M.P.E. & van Dijk, D.J.C., 2007. "The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations," ERIM Report Series Research in Management ERS-2007-066-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.
  17. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  18. Qi Shi & Bin Li & Adrian (Wai Kong) Cheung & Richard Chung, 2017. "Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models," Australian Journal of Management, Australian School of Business, vol. 42(4), pages 653-672, November.
  19. Bredin, Don & Hyde, Stuart, 2011. "Investigating sources of unanticipated exposure in industry stock returns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1128-1142, May.
  20. Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
  21. Kalyvitis Sarantis & Panopoulou Ekaterini, 2013. "Estimating C-CAPM and the equity premium over the frequency domain," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(5), pages 551-571, December.
  22. Amlys Syahputra Silalahi & Khaira Amalia Fachrudin & Aryanti Sariartha Sianipar & Kharisya Ayu Effendi, 2021. "Analysis of the Bank Specific Factors, Macroeconomics and Oil Price on Dividend Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 165-171.
  23. Næs, Randi & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2009. "What factors affect the Oslo Stock Exchange?," UiS Working Papers in Economics and Finance 2009/33, University of Stavanger.
  24. Bandi, Federico M. & Chaudhuri, Shomesh E. & Lo, Andrew W. & Tamoni, Andrea, 2021. "Spectral factor models," Journal of Financial Economics, Elsevier, vol. 142(1), pages 214-238.
  25. Eero J. Pätäri & Timo H. Leivo & Sheraz Ahmed, 2022. "Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 321-367, September.
  26. Gikas Hardouvelis & George Papanastasopoulos & Dimitrios D. Thomakos & Tao Wang, 2007. "Accruals, Net Stock Issues and Value-Glamour Anomalies: New Evidence on their Relation," Working Paper series 47_07, Rimini Centre for Economic Analysis.
  27. Da, Zhi & Warachka, Mitchell Craig, 2009. "Cashflow risk, systematic earnings revisions, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 94(3), pages 448-468, December.
  28. Miguel Antón & Christopher Polk, 2014. "Connected Stocks," Journal of Finance, American Finance Association, vol. 69(3), pages 1099-1127, June.
  29. Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2021. "Market news co-moments and currency returns," Empirical Economics, Springer, vol. 61(4), pages 1819-1863, October.
  30. Hur, Jungshik & Pettengill, Glenn & Singh, Vivek, 2014. "Market states and the risk-based explanation of the size premium," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 139-150.
  31. Renhe Liu & Eddie Chi-man Hui & Jiaqi Lv & Yi Chen, 2017. "What Drives Housing Markets: Fundamentals or Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 55(4), pages 395-415, November.
  32. John Y. Campbell, 2008. "Viewpoint: Estimating the equity premium," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 41(1), pages 1-21, February.
  33. Tobias Adrian & Joshua Rosenberg, 2008. "Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2997-3030, December.
  34. Mohanram, Partha & Rajgopal, Shiva, 2009. "Is PIN priced risk?," Journal of Accounting and Economics, Elsevier, vol. 47(3), pages 226-243, June.
  35. Alexandros Kontonikas & Alexandros Kostakis, 2013. "On Monetary Policy and Stock Market Anomalies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 1009-1042, September.
  36. Kapadia, Nishad, 2011. "Tracking down distress risk," Journal of Financial Economics, Elsevier, vol. 102(1), pages 167-182, October.
  37. Chortareas, Georgios & Noikokyris, Emmanouil, 2014. "Oil shocks, stock market prices, and the U.S. dividend yield decomposition," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 639-649.
  38. John Y. Campbell & Stefano Giglio & Christopher Polk, 2013. "Hard Times," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 95-132.
    • John Y. Campbell & Stefano Giglio & Christopher Polk, 2010. "Hard Times," NBER Working Papers 16222, National Bureau of Economic Research, Inc.
    • Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
  39. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc.
  40. Barras, Laurent, 2019. "A large-scale approach for evaluating asset pricing models," Journal of Financial Economics, Elsevier, vol. 134(3), pages 549-569.
  41. , & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," CEPR Discussion Papers 16357, C.E.P.R. Discussion Papers.
  42. Khan, Mozaffar, 2008. "Are accruals mispriced Evidence from tests of an Intertemporal Capital Asset Pricing Model," Journal of Accounting and Economics, Elsevier, vol. 45(1), pages 55-77, March.
  43. Chen, Long & Petkova, Ralitsa & Zhang, Lu, 2008. "The expected value premium," Journal of Financial Economics, Elsevier, vol. 87(2), pages 269-280, February.
  44. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
  45. Ilan Cooper & Paulo Maio, 2019. "Asset Growth, Profitability, and Investment Opportunities," Management Science, INFORMS, vol. 65(9), pages 3988-4010, September.
  46. Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2009. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns," The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3411-3447, September.
  47. Christopher Hrdlicka, 2022. "Trading Volume and Time Varying Betas [Alpha or beta in the eye of the beholder: what drives hedge fund flows?]," Review of Finance, European Finance Association, vol. 26(1), pages 79-116.
  48. Turan G. Bali & Nusret Cakici & Yi Tang, 2009. "The Conditional Beta and the Cross‐Section of Expected Returns," Financial Management, Financial Management Association International, vol. 38(1), pages 103-137, March.
  49. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
  50. Engsted, Tom & Pedersen, Thomas Q., 2014. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 91-103.
  51. de Oliveira Souza, Thiago, 2016. "The size premium and intertemporal risk," Discussion Papers on Economics 3/2016, University of Southern Denmark, Department of Economics.
  52. Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
  53. Constantinos Antoniou & John A. Doukas & Avanidhar Subrahmanyam, 2016. "Investor Sentiment, Beta, and the Cost of Equity Capital," Management Science, INFORMS, vol. 62(2), pages 347-367, February.
  54. Kamil, Nazrol K.M. & Alhabshi, Syed O. & Bacha, Obiyathulla I. & Masih, Mansur, 2014. "Heads we win, tails you lose: Is there equity in Islamic equity funds?," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 7-28.
  55. Wang, Liyao, 2024. "Partisan conflict and corporate credit spreads: The role of political connection," Journal of Corporate Finance, Elsevier, vol. 84(C).
  56. Efdal Ulas Misirli, 2018. "Productivity Risk and Industry Momentum," Financial Management, Financial Management Association International, vol. 47(3), pages 739-774, September.
  57. Hui Guo & Robert Savickas, 2006. "The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries," Working Papers 2006-036, Federal Reserve Bank of St. Louis.
  58. Rui Albuquerque & Yrjö Koskinen & Chendi Zhang, 2019. "Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence," Management Science, INFORMS, vol. 65(10), pages 4451-4469, October.
  59. Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
  60. Lee, Edward & Strong, Norman & Zhu, Zhenmei (Judy), 2014. "Did the value premium survive the subprime credit crisis?," The British Accounting Review, Elsevier, vol. 46(2), pages 166-178.
  61. Zhang, Bing & Chen, Wei & Yeh, Chung-Ying, 2021. "Turnover premia in China's stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  62. Abhay Abhyankar & Angelica Gonzalez, 2007. "What Drives Corporate Bond Market Betas?," Edinburgh School of Economics Discussion Paper Series 157, Edinburgh School of Economics, University of Edinburgh.
  63. Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
  64. Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron, 2014. "Volatility, the Macroeconomy, and Asset Prices," Journal of Finance, American Finance Association, vol. 69(6), pages 2471-2511, December.
  65. Maria Michou, 2009. "Is the Value Spread a Good Predictor of Stock Returns? UK Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7-8), pages 925-950.
  66. Roh, Tai-Yong & Lee, Changjun & Min, Byoung-Kyu, 2019. "Consumption growth predictability and asset prices," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 95-118.
  67. Greenwood, Robin & Thesmar, David, 2011. "Stock price fragility," Journal of Financial Economics, Elsevier, vol. 102(3), pages 471-490.
  68. Francois Gourio, 2006. "Firms' Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns," 2006 Meeting Papers 846, Society for Economic Dynamics.
  69. Lof, Matthijs & Nyberg, Henri, 2024. "Discount rates and cash flows: A local projection approach," Journal of Banking & Finance, Elsevier, vol. 162(C).
  70. Johan Knif & James W. Kolari & Gregory Koutmos & Seppo Pynnönen, 2019. "Measuring the relative return contribution of risk factors," Journal of Asset Management, Palgrave Macmillan, vol. 20(4), pages 263-272, July.
  71. Eunju Lee, 2016. "Short selling and market mispricing," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 797-833, October.
  72. David R. Haab & Thomas Nitschka, 2019. "What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-17, December.
  73. Ray Ball & Gil Sadka & Ayung Tseng, 2022. "Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk," Review of Accounting Studies, Springer, vol. 27(2), pages 607-646, June.
  74. Galsband, Victoria, 2012. "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2379-2388.
  75. Jaeram Lee & Jungjoon Ihm, 2020. "Gender Difference in Returns to Education Independent of Gender Wage Gap in Korea," Asian Economic Journal, East Asian Economic Association, vol. 34(2), pages 213-232, June.
  76. Botshekan, Mahmoud & Kraeussl, Roman & Lucas, Andre, 2012. "Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(6), pages 1279-1301, December.
  77. John H Cochrane, 2022. "Portfolios for Long-Term Investors [Rare disasters and asset markets in the twentieth century]," Review of Finance, European Finance Association, vol. 26(1), pages 1-42.
  78. Avanidhar Subrahmanyam, 2010. "The Cross†Section of Expected Stock Returns: What Have We Learnt from the Past Twenty†Five Years of Research?," European Financial Management, European Financial Management Association, vol. 16(1), pages 27-42, January.
  79. Yang, Bingduo & Long, Wei & Yang, Zihui, 2022. "Testing predictability of stock returns under possible bubbles," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 246-260.
  80. Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
  81. Kozak, Serhiy & Santosh, Shrihari, 2020. "Why do discount rates vary?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 740-751.
  82. Almeida, Caio & Brandao, Diego, 2019. "Measuring Long Run Risks for Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 39(1), July.
  83. Christopher Polk & Samuel Thompson & Tuomo Vuolteenaho, 2004. "New Forecasts of the Equity Premium," NBER Working Papers 10406, National Bureau of Economic Research, Inc.
  84. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
  85. Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2018. "Quantile relationships between standard, diffusion and jump betas across Japanese banks," Journal of Asian Economics, Elsevier, vol. 59(C), pages 29-47.
  86. Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2010. "Long-run cash flow and discount-rate risks in the cross-section of US returns," The European Journal of Finance, Taylor & Francis Journals, vol. 16(3), pages 227-244.
  87. Martin Lettau & Jessica A. Wachter, 2007. "Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium," Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, February.
  88. Zhi Da & Qianqiu Liu & Ernst Schaumburg, 2011. "Decomposing short-term return reversal," Staff Reports 513, Federal Reserve Bank of New York.
  89. Fukuta, Yuichi & Yamane, Akiko, 2015. "Value premium and implied equity duration in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 102-121.
  90. Paulo Maio, 2007. "ICAPM with time-varying risk aversion," Money Macro and Finance (MMF) Research Group Conference 2006 111, Money Macro and Finance Research Group.
  91. Tang, Dragon Yongjun & Yan, Hong, 2010. "Market conditions, default risk and credit spreads," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 743-753, April.
  92. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis.
  93. Jiang, Xiaoquan & Lee, Bong-Soo, 2007. "Stock returns, dividend yield, and book-to-market ratio," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 455-475, February.
  94. Dison, Will & Theodoridis, Konstantinos, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
  95. Ozdagli, Ali & Velikov, Mihail, 2020. "Show me the money: The monetary policy risk premium," Journal of Financial Economics, Elsevier, vol. 135(2), pages 320-339.
  96. Adrian, Tobias & Franzoni, Francesco, 2009. "Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 537-556, September.
  97. Fabian T. Lutzenberger, 2015. "Multifactor Models and their Consistency with the ICAPM: Evidence from the European Stock Market," European Financial Management, European Financial Management Association, vol. 21(5), pages 1014-1052, November.
  98. Arpit Gupta & Stijn Van Nieuwerburgh, 2021. "Valuing Private Equity Investments Strip by Strip," Journal of Finance, American Finance Association, vol. 76(6), pages 3255-3307, December.
  99. Neuhierl, Andreas & Varneskov, Rasmus T., 2021. "Frequency dependent risk," Journal of Financial Economics, Elsevier, vol. 140(2), pages 644-675.
  100. Jiang, Danling, 2013. "The second moment matters! Cross-sectional dispersion of firm valuations and expected returns," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3974-3992.
  101. Andrew Coleman, 2014. "To Save or Save Not: Intergenerational Neutrality and the Expansion of New Zealand Superannuation," Treasury Working Paper Series 14/02, New Zealand Treasury.
  102. Morana, Claudio, 2014. "Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 64-79.
  103. Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
  104. M. Rahman & M. Hassan, 2013. "Firm fundamentals and stock prices in emerging Asian stock markets: some panel data evidence," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 463-487, October.
  105. John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 79-138.
  106. Mohsen Jafarian & Fauzias Mat Nor & Izani Ibrahim, 2018. "The Relative Importance of Cash Flow News and Discount Rate News at Driving Stock Price Change," Capital Markets Review, Malaysian Finance Association, vol. 26(1), pages 56-72.
  107. Andersen, Torben G. & Varneskov, Rasmus T., 2021. "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
  108. Gray, Philip & Johnson, Jessica, 2011. "The relationship between asset growth and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 670-680, March.
  109. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  110. Sebastien Valeyre, 2020. "Refined model of the covariance/correlation matrix between securities," Papers 2001.08911, arXiv.org.
  111. Srivastava, Pranjal & Jacob, Joshy, 2022. "Risk information - normal markets and the COVID-19 pandemic period," IIMA Working Papers WP 2022-10-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
  112. Wenzelburger, Jan, 2020. "Mean-variance analysis and the Modified Market Portfolio," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
  113. Jin, Xiaoye, 2015. "Asymmetry in return and volatility spillover between China's interbank and exchange T-bond markets," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 340-353.
  114. Lee, Jaeram & Ihm, Jungjoon & Ryu, Doojin, 2017. "Human capital measures and stock return predictability: Macroeconomic versus microeconomic approaches," Finance Research Letters, Elsevier, vol. 21(C), pages 53-56.
  115. Gomez Biscarri, Javier & Lopez Espinosa, German, 2008. "The influence of differences in accounting standards on empirical pricing models: An application to the Fama-French model," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 369-388, October.
  116. Liu, Jinjing, 2023. "A novel downside beta and expected stock returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
  117. Alex R. Horenstein, 2021. "The Unintended Impact of Academic Research on Asset Returns: The Capital Asset Pricing Model Alpha," Management Science, INFORMS, vol. 67(6), pages 3655-3673, June.
  118. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2010, January-A.
  119. 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.
  120. Ren, Yu & Tu, Yundong & Yi, Yanping, 2019. "Balanced predictive regressions," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 118-142.
  121. Malamud, Semyon & Vilkov, Grigory, 2018. "Non-myopic betas," Journal of Financial Economics, Elsevier, vol. 129(2), pages 357-381.
  122. Chen, Zhanhui & Yang, Bowen, 2019. "In search of preference shock risks: Evidence from longevity risks and momentum profits," Journal of Financial Economics, Elsevier, vol. 133(1), pages 225-249.
  123. Guo, Hui & Savickas, Robert, 2006. "Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 43-56, January.
  124. Dooruj McRambaccussing, 2015. "Moment Matching in the Present Value identity, and a New Model," Dundee Discussion Papers in Economics 291, Economic Studies, University of Dundee.
  125. Tim V. Eaton & Craig Nichols & James Wahlen & Matthew Wieland, 2021. "Managers’ Investment Decisions: Incentives and Economic Consequences Arising from Leases," JRFM, MDPI, vol. 14(4), pages 1-33, April.
  126. Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.
  127. Dunbar, Kwamie, 2021. "Pricing the hedging factor in the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  128. Miguel C. Herculano, 2024. "Betting Against (Bad) Beta," Papers 2409.00416, arXiv.org.
  129. Ken L. Bechmann, 2004. "Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index: The KFX Index," Multinational Finance Journal, Multinational Finance Journal, vol. 8(1-2), pages 3-34, March-Jun.
  130. Grout, Paul A. & Zalewska, Anna, 2016. "Stock market risk in the financial crisis," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 326-345.
  131. Zhang, Han, 2021. "An inflation-based ICAPM in China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  132. Michael Curran & Adnan Velic, 2020. "The CAPM, National Stock Market Betas, and Macroeconomic Covariates: a Global Analysis," Open Economies Review, Springer, vol. 31(4), pages 787-820, September.
  133. Yeh, Chung-Ying & Hsu, Junming & Wang, Kai-Li & Lin, Che-Hui, 2015. "Explaining the default risk anomaly by the two-beta model," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 16-33.
  134. Thiago de Oliveira Souza, 2013. "Discount rates, market frictions and the mystery of the size premium," 2013 Papers pde868, Job Market Papers.
  135. Kang, Byoung Uk & In, Francis & Kim, Tong Suk, 2017. "Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama–French factors," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 15-39.
  136. Acker, Daniella & Duck, Nigel W., 2013. "Inflation illusion and the US dividend yield: Some further evidence," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 235-254.
  137. Hui Guo, 2004. "A rational pricing explanation for the failure of CAPM," Review, Federal Reserve Bank of St. Louis, vol. 86(May), pages 23-34.
  138. Jiang, Xiaoquan & Zaman, Mir A., 2010. "Aggregate insider trading: Contrarian beliefs or superior information?," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1225-1236, June.
  139. Todd, Prono, 2009. "Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique," MPRA Paper 20031, University Library of Munich, Germany.
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