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Extra-Market Components of Covariance in Security Returns

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  • Rosenberg, Barr
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 9 (1974)
    Issue (Month): 02 (March)
    Pages: 263-274

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    Handle: RePEc:cup:jfinqa:v:9:y:1974:i:02:p:263-274_01

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    Cited by:
    1. Higgins, Huong, 2013. "Can securities analysts forecast intangible firms’ earnings?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 155-174.
    2. 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.
    3. 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.
    4. 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.
    5. André Lucas & Ronald van Dijk & Teun Kloek, 2001. "Stock Selection, Style Rotation, and Risk," Tinbergen Institute Discussion Papers 01-021/2, Tinbergen Institute.
    6. 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.
    7. Markowitz, Harry M., 1990. "Foundations of Portfolio Theory," Nobel Prize in Economics documents 1990-1, Nobel Prize Committee.
    8. Olivier Ledoit & Michael Wolf, 2001. "Improved estimation of the covariance matrix of stock returns with an application to portofolio selection," Economics Working Papers 586, Department of Economics and Business, Universitat Pompeu Fabra.
    9. 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.
    10. 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.
    11. 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.
    12. 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.

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