Pricing within and across asset classes
Author
Abstract
Suggested Citation
DOI: 10.1016/j.frl.2017.09.017
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Eugene F. Fama & Kenneth R. French, 2008. "Dissecting Anomalies," Journal of Finance, American Finance Association, vol. 63(4), pages 1653-1678, August.
- Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- 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.
- Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006. "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers 12360, National Bureau of Economic Research, Inc.
- Karolyi, G. Andrew & Stulz, Rene M., 2003.
"Are financial assets priced locally or globally?,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 16, pages 975-1020,
Elsevier.
- G. Andrew Karolyi & Rene M. Stulz, 2002. "Are Financial Assets Priced Locally or Globally?," NBER Working Papers 8994, National Bureau of Economic Research, Inc.
- Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 457-472.
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014.
"Conditional risk premia in currency markets and other asset classes,"
Journal of Financial Economics, Elsevier, vol. 114(2), pages 197-225.
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," CEPR Discussion Papers 9484, C.E.P.R. Discussion Papers.
- Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
- Victoria Dobrynskaya, 2015. "Upside and Downside Risks in Momentum Returns," HSE Working papers WP BRP 50/FE/2015, National Research University Higher School of Economics.
- Kewei Hou & Chen Xue & Lu Zhang, 2015. "Editor's Choice Digesting Anomalies: An Investment Approach," The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 650-705.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Clifford S. Asness & Tobias J. Moskowitz & Lasse Heje Pedersen, 2013. "Value and Momentum Everywhere," Journal of Finance, American Finance Association, vol. 68(3), pages 929-985, June.
- Campbell R. Harvey & Yan Liu & Heqing Zhu, 2016. "Editor's Choice … and the Cross-Section of Expected Returns," The Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 5-68.
- Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
- K. Geert Rouwenhorst, 1998.
"International Momentum Strategies,"
Journal of Finance,
American Finance Association, vol. 53(1), pages 267-284, February.
- K. Rouwenhorst, 1996. "International Momentum Strategies," Yale School of Management Working Papers ysm36, Yale School of Management, revised 01 Feb 2008.
- Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje, 2012. "Time series momentum," Journal of Financial Economics, Elsevier, vol. 104(2), pages 228-250.
- Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
- Fletcher, Jonathan, 2018. "Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 114-129.
- Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
- Pätäri, Eero & Karell, Ville & Luukka, Pasi & Yeomans, Julian S, 2018. "Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence," European Journal of Operational Research, Elsevier, vol. 265(2), pages 655-672.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
- 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.
- Huynh, Thanh D., 2017. "Conditional asset pricing in international equity markets," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 168-189.
- Waszczuk, Antonina, 2013. "A risk-based explanation of return patterns—Evidence from the Polish stock market," Emerging Markets Review, Elsevier, vol. 15(C), pages 186-210.
- 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.
- Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2019. "Review of new trends in the literature on factor models and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 344-354.
- Cakici, Nusret & Tang, Yi & Yan, An, 2016. "Do the size, value, and momentum factors drive stock returns in emerging markets?," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 179-204.
- Israel, Ronen & Moskowitz, Tobias J., 2013. "The role of shorting, firm size, and time on market anomalies," Journal of Financial Economics, Elsevier, vol. 108(2), pages 275-301.
- 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.
- Lu Zhang, 2017. "The Investment CAPM," NBER Working Papers 23226, National Bureau of Economic Research, Inc.
- Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 457-472.
- Walkshäusl, Christian, 2015. "Equity financing activities and European value-growth returns," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 27-40.
- Grobys, Klaus & Heinonen, Jari-Pekka & Kolari, James, 2018. "Return dispersion risk in FX and global equity markets: Does it explain currency momentum?," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 264-280.
- Victoria Dobrynskaya, 2017. "Dynamic Momentum and Contrarian Trading," HSE Working papers WP BRP 61/FE/2017, National Research University Higher School of Economics.
- Kathrin Tauscher & Martin Wallmeier, 2016. "Portfolio Overlapping Bias in Tests of the Fama–French Three†Factor Model," European Financial Management, European Financial Management Association, vol. 22(3), pages 367-393, June.
- Ardila-Alvarez, Diego & Forro, Zalan & Sornette, Didier, 2021. "The acceleration effect and Gamma factor in asset pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 569(C).
- Thiago de Oliveira Souza, 2013.
"Discount rates, market frictions and the mystery of the size premium,"
2013 Papers
pde868, Job Market Papers.
- de Oliveira Souza, Thiago, 2014. "Discount rates, market frictions, and the mystery of the size premium," Discussion Papers on Economics 15/2014, University of Southern Denmark, Department of Economics.
- Thiago De Oliveira Souza, 2013. "Discount Rates, Market Frictions and the Mystery of the Size Premium," Working Papers ECARES ECARES 2013-43, ULB -- Universite Libre de Bruxelles.
More about this item
Keywords
Momentum; Value; Asset classes; Cross-sectional asset pricing;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:25:y:2018:i:c:p:10-15. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.