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Pim Van Vliet

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Post, G.T. & van Vliet, P. & Lansdorp, S.D., 2009. "Sorting out Downside Beta," ERIM Report Series Research in Management ERS-2009-006-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.

    Cited by:

    1. Bloys van Treslong, A. & Huisman, R., 2009. "A Comment on: Storage and the Electricity Forward Premium," ERIM Report Series Research in Management ERS-2009-042-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.
    2. Cumova, Denisa & Nawrocki, David, 2011. "A symmetric LPM model for heuristic mean-semivariance analysis," Journal of Economics and Business, Elsevier, vol. 63(3), pages 217-236, May.

  2. Blitz, D.C. & van Vliet, P., 2008. "Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes," ERIM Report Series Research in Management ERS-2008-033-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.

    Cited by:

    1. Carmine De Franco & Johann Nicolle & Huyên Pham, 2019. "Dealing with Drift Uncertainty: A Bayesian Learning Approach," Risks, MDPI, Open Access Journal, vol. 7(1), pages 1-18, January.
    2. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(4), pages 1-26, October.
    3. Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    4. Stephan Kessler & Bernd Scherer, 2013. "Momentum and macroeconomic state variables," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 335-363, December.
    5. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, December.
    6. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, December.
    7. Zaremba, Adam & Umutlu, Mehmet, 2018. "Size matters everywhere: Decomposing the small country and small industry premia," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 1-18.
    8. Kees G. Koedijk & Alfred M.H. Slager & Philip A. Stork, 2016. "Investing in Systematic Factor Premiums," European Financial Management, European Financial Management Association, vol. 22(2), pages 193-234, March.
    9. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2014. "Global Style Portfolios Based on Country Indices," MPRA Paper 53094, University Library of Munich, Germany.
    10. Nafeesa Yunus, 2016. "Modelling interactions among the housing market and key US sectors," Journal of Property Research, Taylor & Francis Journals, vol. 33(2), pages 121-146, April.
    11. Zaremba, Adam & Umutlu, Mehmet & Karathanasopoulos, Andreas, 2019. "Alpha momentum and alpha reversal in country and industry equity indexes," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 144-161.
    12. Tse, Yiuman, 2015. "Momentum strategies with stock index exchange-traded funds," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 134-148.
    13. Zaremba, Adam, 2019. "Price range and the cross-section of expected country and industry returns," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 174-189.
    14. Dichtl, Hubert & Drobetz, Wolfgang, 2014. "Are stock markets really so inefficient? The case of the “Halloween Indicator”," Finance Research Letters, Elsevier, vol. 11(2), pages 112-121.
    15. Humberto Valencia Herrera, 2015. "Decomposition of the Stocks Returns in the Sustainable Index of the Mexican Stock Exchange," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 10(1), pages 85-99, Enero-Jun.

  3. Blitz, D.C. & van Vliet, P., 2007. "The Volatility Effect: Lower Risk without Lower Return," ERIM Report Series Research in Management ERS-2007-044-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.

    Cited by:

    1. Huang, Shiyang & Lou, Dong & Polk, Christopher, 2016. "The Booms and Busts of Beta Arbitrage," CEPR Discussion Papers 11531, C.E.P.R. Discussion Papers.
    2. Cheema, Muhammad A. & Scrimgeour, Frank, 2019. "Oil prices and stock market anomalies," Energy Economics, Elsevier, vol. 83(C), pages 578-587.
    3. Blitz, David & Vidojevic, Milan, 2017. "The profitability of low-volatility," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 33-42.
    4. Malcolm Baker & Mathias F. Hoeyer & Jeffrey Wurgler, 2016. "The Risk Anomaly Tradeoff of Leverage," NBER Working Papers 22116, National Bureau of Economic Research, Inc.
    5. Alessandro Russo, 2016. "Low-risk equity investment – From theory to practice," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 264-279, July.
    6. Huffman, Stephen P. & Moll, Cliff R., 2013. "An examination of the relation between asymmetric risk measures, prior returns and expected daily stock returns," Review of Financial Economics, Elsevier, vol. 22(1), pages 8-19.
    7. Kei Nakagawa & Takumi Uchida & Tomohisa Aoshima, 2018. "Deep Factor Model," Papers 1810.01278, arXiv.org.
    8. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
    9. de Groot, W.A. & Pang, J. & Swinkels, L.A.P., 2012. "The Cross-Section of Stock Returns in Frontier Emerging Markets," ERIM Report Series Research in Management ERS-2012-012-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.
    10. Marc Desban & Souad Lajili Jarjir, 2018. "Corporate ownership structure, market anomalies and asset pricing," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 316-340, September.
    11. Dorota Witkowska & Krzysztof Kompa, 2017. "How the Change of Governing Party Influences the Efficiency of Financial Market in Poland," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 147-159.
    12. Gan, Christopher & Nartea, Gilbert V. & Wu, Ji (George), 2018. "Predictive ability of low-frequency volatility measures: Evidence from the Hong Kong stock markets," Finance Research Letters, Elsevier, vol. 26(C), pages 40-46.
    13. Robert Novy-Marx, 2014. "Understanding Defensive Equity," NBER Working Papers 20591, National Bureau of Economic Research, Inc.
    14. Malcolm Baker & Jeffrey Wurgler, 2013. "Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly," NBER Working Papers 19018, National Bureau of Economic Research, Inc.
    15. Rocco Ciciretti & Ambrogio Dalò & Lammertjan Dam, 2017. "The Contributions of Betas versus Characteristics to the ESG Premium," CEIS Research Paper 413, Tor Vergata University, CEIS, revised 19 Dec 2019.
    16. Harrison Hong & David A. Sraer, 2016. "Speculative Betas," Journal of Finance, American Finance Association, vol. 71(5), pages 2095-2144, October.
    17. Choi, Jaehyung & Kim, Young Shin & Mitov, Ivan, 2015. "Reward-risk momentum strategies using classical tempered stable distribution," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 194-213.
    18. Mihály Ormos & Dusán Timotity, 2017. "Expected downside risk and asset prices: characteristics of emerging and developed European markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(3), pages 529-546, August.
    19. Kunz, Alexis H. & Messner, Claude & Wallmeier, Martin, 2017. "Investors’ risk perceptions of structured financial products with worst-of payout characteristics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 15(C), pages 66-73.
    20. Blitz, David & Pang, Juan & van Vliet, Pim, 2013. "The volatility effect in emerging markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 31-45.
    21. Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2013. "Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach," EconomiX Working Papers 2013-28, University of Paris Nanterre, EconomiX.
    22. Jan Bastin, 2018. "Risk-Based Investing in the German Stock Market," Prague Economic Papers, Prague University of Economics and Business, vol. 2018(1), pages 55-72.
    23. Ruanmin Cao & Lajos Horváth & Zhenya Liu & Yuqian Zhao, 2020. "A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis," Review of Quantitative Finance and Accounting, Springer, vol. 54(1), pages 335-358, January.
    24. Chengbo Fu, 2018. "Alpha Beta Risk and Stock Returns—A Decomposition Analysis of Idiosyncratic Volatility with Conditional Models," Risks, MDPI, Open Access Journal, vol. 6(4), pages 1-11, October.
    25. Malcolm Baker & Jeffrey Wurgler, 2015. "Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly," American Economic Review, American Economic Association, vol. 105(5), pages 315-320, May.
    26. Scherer, Bernd, 2011. "A note on the returns from minimum variance investing," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 652-660, September.
    27. Wenbo Wu & Jiaqi Chen & Liang Xu & Qingyun He & Michael L. Tindall, 2019. "A statistical learning approach for stock selection in the Chinese stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-18, December.
    28. Malcolm Baker & Terence C. Burnham & Ryan Taliaferro, 2016. "Public Goods with Punishment & Payment for Relative Rank," Working Papers 16-33, Chapman University, Economic Science Institute.
    29. Dorsaf Ben Aissia, 2017. "The mispricing of equity risk: behavioral and corporate leverage factors," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 421-432, October.
    30. Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
    31. Jan Bastin, 2015. "Volatility Effect: An Application on the German Stock Market [Efekt nízkého rizika: Aplikace na německý akciový trh]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2015(1), pages 36-54.
    32. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, December.
    33. 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.
    34. Greg MacKinnon & Jon Spinney, 2017. "Low Volatility Investing in U.S. Equity REITs," International Real Estate Review, Asian Real Estate Society, vol. 20(1), pages 1-21.
    35. Diana Barro & Elio Canestrelli & Fabio Lanza, 2014. "Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance," Working Papers 2014:18, Department of Economics, University of Venice "Ca' Foscari".
    36. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, December.
    37. Kaserer Christoph & Hanauer Matthias X., 2017. "25 Jahre Fama-French-Modell: Erklärungsgehalt, Anomalien und praktische Implikationen," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 18(2), pages 98-116, June.
    38. Nartea, Gilbert V. & Wu, Ji, 2013. "Is there a volatility effect in the Hong Kong stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 119-135.
    39. Andy Fodor & Kevin Krieger & Nathan Mauck & Greg Stevenson, 2013. "Predicting Extreme Returns And Portfolio Management Implications," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(4), pages 471-492, December.
    40. Kees G. Koedijk & Alfred M.H. Slager & Philip A. Stork, 2016. "Investing in Systematic Factor Premiums," European Financial Management, European Financial Management Association, vol. 22(2), pages 193-234, March.
    41. Kyosev, Georgi & Hanauer, Matthias X. & Huij, Joop & Lansdorp, Simon, 2020. "Does earnings growth drive the quality premium?," Journal of Banking & Finance, Elsevier, vol. 114(C).
    42. David Blitz, 2014. "Agency†Based Asset Pricing and the Beta Anomaly," European Financial Management, European Financial Management Association, vol. 20(4), pages 770-801, September.
    43. Boudt, Kris & Raza, Muhammad Wajid & Wauters, Marjan, 2019. "Evaluating the Shariah-compliance of equity portfolios: The weighting method matters," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 406-417.
    44. Laurens Swinkels & David Blitz & Winfried Hallerbach & Pim Vliet, 2018. "Equity Solvency Capital Requirements - What Institutional Regulation Can Learn from Private Investor Regulation," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(4), pages 633-652, October.
    45. Hsu, Ching-Chi & Chen, Miao-Ling, 2017. "The timing of low-volatility strategy," Finance Research Letters, Elsevier, vol. 23(C), pages 114-120.
    46. Phil Maguire & Karl Moffett & Rebecca Maguire, 2018. "Combining Independent Smart Beta Strategies for Portfolio Optimization," Papers 1808.02505, arXiv.org, revised Aug 2018.
    47. Jordan, Bradford D. & Riley, Timothy B., 2015. "Volatility and mutual fund manager skill," Journal of Financial Economics, Elsevier, vol. 118(2), pages 289-298.
    48. Markus Leippold & Roger Rueegg, 2018. "The mixed vs the integrated approach to style investing: Much ado about nothing?," European Financial Management, European Financial Management Association, vol. 24(5), pages 829-855, November.
    49. Kamil Nowak, 2016. "Implementation Of Alternative Index Weighting To Warsaw Stock Exchange," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 5(2), pages 163-179.
    50. Francesco Chincoli & Massimo Guidolin, 2017. "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
    51. Matthias M. M. Buehlmaier & Kit Pong Wong, 2020. "Should investors join the index revolution? Evidence from around the world," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 192-218, May.
    52. Jory, Surendranath & Ngo, Thanh, 2017. "Firm power in product market and stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 182-193.
    53. Phil Maguire & Stephen Kelly & Robert Miller & Philippe Moser & Philip Hyland & Rebecca Maguire, 2017. "Further evidence in support of a low-volatility anomaly: Optimizing buy-and-hold portfolios by minimizing historical aggregate volatility," Journal of Asset Management, Palgrave Macmillan, vol. 18(4), pages 326-339, July.
    54. Máté Fain & Helena Naffa, 2019. "Performance Measurement of Active Investment Strategies Using Pure Factor Portfolios," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 18(2), pages 52-86.
    55. Hooman Abdollahi & Seyed Babak Ebrahimi & Hamed Tayebi, 2017. "The Effect of Investor Sentiment on Betting Against Beta: A Structural Equations Modeling Approach Towards Beta Anomaly," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 201-206.
    56. Alankar, Ashwin & Blausten, Peter & Scholes, Myron S., 2013. "The Cost of Constraints: Risk Management, Agency Theory and Asset Prices," Research Papers 2135, Stanford University, Graduate School of Business.
    57. Adam ZAREMBA, 2015. "Low Risk Anomaly In The Cee Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 81-102, September.
    58. Zakamulin, Valeriy, 2017. "Superiority of optimized portfolios to naive diversification: Fact or fiction?," Finance Research Letters, Elsevier, vol. 22(C), pages 122-128.
    59. S. Ciliberti & Y. Lemp'eri`ere & A. Beveratos & G. Simon & L. Laloux & M. Potters & J. P. Bouchaud, 2015. "Deconstructing the Low-Vol Anomaly," Papers 1510.01679, arXiv.org, revised Oct 2015.
    60. Zaremba, Adam, 2019. "Price range and the cross-section of expected country and industry returns," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 174-189.
    61. Patrick Bielstein & Matthias X. Hanauer, 2019. "Mean-variance optimization using forward-looking return estimates," Review of Quantitative Finance and Accounting, Springer, vol. 52(3), pages 815-840, April.
    62. Pyo, Sujin & Lee, Jaewook, 2018. "Exploiting the low-risk anomaly using machine learning to enhance the Black–Litterman framework: Evidence from South Korea," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 1-12.
    63. Walkshäusl, Christian, 2013. "The high returns to low volatility stocks are actually a premium on high quality firms," Review of Financial Economics, Elsevier, vol. 22(4), pages 180-186.

  4. Post, G.T. & van Vliet, P., 2004. "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management ERS-2004-048-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.

    Cited by:

    1. Boubaker, Heni & Sghaier, Nadia, 2013. "Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 361-377.
    2. Olmo, J., 2007. "An asset pricing model for mean-variance-downside-risk averse investors," Working Papers 07/01, Department of Economics, City University London.
    3. Richard D. F. Harris & Xuguang Li & Fang Qiao, 2019. "Option‐implied betas and the cross section of stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 94-108, January.
    4. Li Cai & Jinhua Cui & Hoje Jo, 2016. "Corporate Environmental Responsibility and Firm Risk," Journal of Business Ethics, Springer, vol. 139(3), pages 563-594, December.
    5. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
    6. Ayub, Usman & Shah, Syed Zulfiqar Ali & Abbas, Qaisar, 2015. "Robust analysis for downside risk in portfolio management for a volatile stock market," Economic Modelling, Elsevier, vol. 44(C), pages 86-96.
    7. Fong, Wai Mun & Lean, Hooi Hooi & Wong, Wing Keung, 2008. "Stochastic dominance and behavior towards risk: The market for Internet stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 68(1), pages 194-208, October.
    8. Bilbao-Terol, Amelia & Arenas-Parra, Mar & Cañal-Fernández, Verónica, 2016. "A model based on Copula Theory for sustainable and social responsible investments," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 19(1), pages 55-76.
    9. Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger.
    10. Miralles Marcelo, José Luis & Miralles Quirós, María Del Mar & Miralles Quirós, José Luis., 2007. "Análisis Media-semivarianza: Una Aplicación A Las Primas De Riesgo En El Mercado De Valores Español/Mean-semivariance Analysis: An Application To Risk Premiums In The Spanish Stock Market," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 25, pages 199-214, Abril.
    11. Ali, Heba, 2019. "Does downside risk matter more in asset pricing? Evidence from China," Emerging Markets Review, Elsevier, vol. 39(C), pages 154-174.

  5. Post, G.T. & van Vliet, P., 2004. "Downside Risk and Asset Pricing," ERIM Report Series Research in Management ERS-2004-018-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.

    Cited by:

    1. Anna Rutkowska-Ziarko & Christopher Pyke, 2018. "Wykorzystanie informacji księgowych w analizie ryzyka," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 49, pages 547-554.
    2. Anna Rutkowska-Ziarko, 2019. "Korelacja pomiędzy rentownością a księgowymi współczynnikami beta dla polskiego sektora budowlanego," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 54, pages 371-382.
    3. Piljak, Vanja & Swinkels, Laurens, 2017. "Frontier and emerging government bond markets," Emerging Markets Review, Elsevier, vol. 30(C), pages 232-255.
    4. Tsai, Hsiu-Jung & Chen, Ming-Chi & Yang, Chih-Yuan, 2014. "A time-varying perspective on the CAPM and downside betas," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 440-454.
    5. Don Galagedera & Elizabeth Maharaj & Robert Brooks, 2008. "Relationship between downside risk and return: new evidence through a multiscaling approach," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1623-1633.
    6. Kouadio, Jean Joel & Mwamba, Muteba & Bonga-Bonga, Lumengo, 2019. "Empirical evidence of systemic tail risk premium in the Johannesburg Stock Exchange," MPRA Paper 96570, University Library of Munich, Germany.
    7. Truong Thi Thu Thuy & Jungmu Kim, 2018. "Sustainability Managed against Downside Risk and the Cost of Equity: Evidence in Korea," Sustainability, MDPI, Open Access Journal, vol. 10(11), pages 1-18, October.
    8. Hwang, Young-Soon & Min, Hong-Ghi & McDonald, Judith A. & Kim, Hwagyun & Kim, Bong-Han, 2010. "Using the credit spread as an option-risk factor: Size and value effects in CAPM," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2995-3009, December.
    9. Thierry Post & Pim Vliet, 2004. "Market portfolio efficiency and value stocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 28(3), pages 300-306, September.
    10. Lesław Markowski, 2015. "Conditional Volatility Exposures in Asset Pricing in the Downside and Classical Framework," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 7(1).
    11. Olmo, J., 2007. "An asset pricing model for mean-variance-downside-risk averse investors," Working Papers 07/01, Department of Economics, City University London.
    12. Sheng Li & Oliver Linton, 2007. "Evaluating hedge fund performance: a stochastic dominance approach," FMG Discussion Papers dp591, Financial Markets Group.
    13. Levy, Haim & Levy, Moshe, 2009. "The safety first expected utility model: Experimental evidence and economic implications," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1494-1506, August.
    14. Post, Thierry, 2008. "On the dual test for SSD efficiency: With an application to momentum investment strategies," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1564-1573, March.
    15. Syed Aziz Rasool & Adiqa Kausar Kiani & Noor Jehan, 2018. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries," Global Social Sciences Review, Humanity Only, vol. 3(3), pages 265-280, September.
    16. Karmakar, Madhusudan & Paul, Samit, 2019. "Intraday portfolio risk management using VaR and CVaR:A CGARCH-EVT-Copula approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 699-709.
    17. Knoke, Thomas, 2008. "Mixed forests and finance -- Methodological approaches," Ecological Economics, Elsevier, vol. 65(3), pages 590-601, April.
    18. Iñaki R. Longarela, 2016. "A Characterization of the SSD-Efficient Frontier of Portfolio Weights by Means of a Set of Mixed-Integer Linear Constraints," Management Science, INFORMS, vol. 62(12), pages 3549-3554, December.
    19. Eikseth, Hans Marius & Lindset, Snorre, 2009. "A note on capital asset pricing and heterogeneous taxes," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 573-577, March.
    20. Potì, Valerio & Wang, DengLi, 2010. "The coskewness puzzle," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1827-1838, August.
    21. Clasen, Christian & Griess, Verena C. & Knoke, Thomas, 2011. "Financial consequences of losing admixed tree species: A new approach to value increased financial risks by ungulate browsing," Forest Policy and Economics, Elsevier, vol. 13(6), pages 503-511, July.
    22. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
    23. Ho, Chienwei & Hung, Chi-Hsiou, 2009. "Investor sentiment as conditioning information in asset pricing," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 892-903, May.
    24. Post, G.T. & van Vliet, P., 2004. "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management ERS-2004-048-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.
    25. Hildebrandt, Patrick & Knoke, Thomas, 2011. "Investment decisions under uncertainty--A methodological review on forest science studies," Forest Policy and Economics, Elsevier, vol. 13(1), pages 1-15, January.
    26. Usman Ayub & Samaila Kausar & Umara Noreen & Muhammad Zakaria & Imran Abbas Jadoon, 2020. "Downside Risk-Based Six-Factor Capital Asset Pricing Model (CAPM): A New Paradigm in Asset Pricing," Sustainability, MDPI, Open Access Journal, vol. 12(17), pages 1-16, August.
    27. Lesław Markowski, 2016. "Dolnostronne miary ryzyka a wycena aktywów kapitałowych na przykładzie sektora IT i mediów Giełdy Papierów Wartościowych w Warszawie," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 40, pages 439-452.
    28. Philip A. Horvath & Amit K. Sinha, 2017. "Asymmetric reaction is rational behavior," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(1), pages 160-179, January.
    29. Rudolf F. Klein & K. Victor Chow, 2010. "Sentiment Effect and Market Portfolio Inefficiency," Working Papers 10-08, Department of Economics, West Virginia University.
    30. Galagedera, Don U.A. & Brooks, Robert D., 2007. "Is co-skewness a better measure of risk in the downside than downside beta?: Evidence in emerging market data," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 214-230, July.
    31. Fang, Yi, 2012. "Aggregate investor preferences and beliefs in stock market: A stochastic dominance analysis," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 528-547.

  6. Post, G.T. & van Vliet, P., 2003. "Risk Aversion and Skewness Preference: a comment," ERIM Report Series Research in Management ERS-2003-009-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.

    Cited by:

    1. Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 91-119, January.
    2. Clark, Ephraim & Jokung, Octave & Kassimatis, Konstantinos, 2011. "Making inefficient market indices efficient," European Journal of Operational Research, Elsevier, vol. 209(1), pages 83-93, February.

Articles

  1. Blitz, David & Pang, Juan & van Vliet, Pim, 2013. "The volatility effect in emerging markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 31-45.

    Cited by:

    1. Huang, Shiyang & Lou, Dong & Polk, Christopher, 2016. "The Booms and Busts of Beta Arbitrage," CEPR Discussion Papers 11531, C.E.P.R. Discussion Papers.
    2. Blitz, David & Vidojevic, Milan, 2017. "The profitability of low-volatility," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 33-42.
    3. Malcolm Baker & Mathias F. Hoeyer & Jeffrey Wurgler, 2016. "The Risk Anomaly Tradeoff of Leverage," NBER Working Papers 22116, National Bureau of Economic Research, Inc.
    4. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
    5. de Groot, W.A. & Pang, J. & Swinkels, L.A.P., 2012. "The Cross-Section of Stock Returns in Frontier Emerging Markets," ERIM Report Series Research in Management ERS-2012-012-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.
    6. Malcolm Baker & Jeffrey Wurgler, 2013. "Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly," NBER Working Papers 19018, National Bureau of Economic Research, Inc.
    7. Javed Iqbal & Sara Azher, 2014. "Value-at-Risk and Expected Stock Returns: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 19(2), pages 71-100, July-Dec.
    8. Mihály Ormos & Dusán Timotity, 2017. "Expected downside risk and asset prices: characteristics of emerging and developed European markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(3), pages 529-546, August.
    9. Malcolm Baker & Jeffrey Wurgler, 2015. "Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly," American Economic Review, American Economic Association, vol. 105(5), pages 315-320, May.
    10. Dorsaf Ben Aissia, 2017. "The mispricing of equity risk: behavioral and corporate leverage factors," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 421-432, October.
    11. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, December.
    12. 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.
    13. Greg MacKinnon & Jon Spinney, 2017. "Low Volatility Investing in U.S. Equity REITs," International Real Estate Review, Asian Real Estate Society, vol. 20(1), pages 1-21.
    14. Korn, Olaf & Kuntz, Laura-Chloé, 2015. "Low-beta investment strategies," CFR Working Papers 15-17, University of Cologne, Centre for Financial Research (CFR).
    15. Korn, Olaf & Kuntz, Laura-Chloé, 2017. "Low-beta strategies," CFR Working Papers 15-17 [rev.], University of Cologne, Centre for Financial Research (CFR).
    16. David Blitz, 2014. "Agency†Based Asset Pricing and the Beta Anomaly," European Financial Management, European Financial Management Association, vol. 20(4), pages 770-801, September.
    17. Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
    18. Matthias M. M. Buehlmaier & Kit Pong Wong, 2020. "Should investors join the index revolution? Evidence from around the world," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 192-218, May.
    19. Su, Zhi & Shu, Tengjia & Yin, Libo, 2018. "The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 497(C), pages 218-235.
    20. Diaz-Ruiz, Polux & Herrerias, Renata & Vasquez, Aurelio, 2020. "Anomalies in emerging markets: The case of Mexico," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    21. Adam ZAREMBA, 2015. "Low Risk Anomaly In The Cee Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 81-102, September.
    22. Zakamulin, Valeriy, 2017. "Superiority of optimized portfolios to naive diversification: Fact or fiction?," Finance Research Letters, Elsevier, vol. 22(C), pages 122-128.
    23. Zaremba, Adam, 2019. "Price range and the cross-section of expected country and industry returns," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 174-189.
    24. Pyo, Sujin & Lee, Jaewook, 2018. "Exploiting the low-risk anomaly using machine learning to enhance the Black–Litterman framework: Evidence from South Korea," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 1-12.

  2. Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim, 2012. "Downside risk aversion, fixed-income exposure, and the value premium puzzle," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3382-3398.

    Cited by:

    1. Cumova, Denisa & Nawrocki, David, 2014. "Portfolio optimization in an upside potential and downside risk framework," Journal of Economics and Business, Elsevier, vol. 71(C), pages 68-89.

  3. Post, Thierry & van Vliet, Pim & Levy, Haim, 2008. "Risk aversion and skewness preference," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1178-1187, July.

    Cited by:

    1. Abu-Alkheil, Ahmad & Khan, Walayet A. & Parikh, Bhavik & Mohanty, Sunil K., 2017. "Dynamic co-integration and portfolio diversification of Islamic and conventional indices: Global evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 212-224.
    2. Mark Schneider & Robert Day, 2018. "Target-Adjusted Utility Functions and Expected-Utility Paradoxes," Management Science, INFORMS, vol. 64(1), pages 271-287, January.
    3. Amélie Charles & Olivier Darné & Jessica Fouilloux, 2016. "The impact of screening strategies on the performance of ESG indices," Working Papers hal-01344699, HAL.
    4. Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," ERIM Report Series Research in Management ERS-2003-017-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.
    5. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
    6. Díaz, Antonio & González, María de la O & Navarro, Eliseo & Skinner, Frank S., 2009. "An evaluation of contingent immunization," Journal of Banking & Finance, Elsevier, vol. 33(10), pages 1874-1883, October.
    7. Ephraim Clark & Konstantinos Kassimatis, 2013. "International equity flows, marginal conditional stochastic dominance and diversification," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 251-271, February.
    8. Johan Knif & Dimitrios Koutmos & Gregory Koutmos, 2020. "Higher Co-Moment CAPM and Hedge Fund Returns," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 48(1), pages 99-113, March.
    9. Rachel J. Huang & Larry Y. Tzeng & Lin Zhao, 2020. "Fractional Degree Stochastic Dominance," Management Science, INFORMS, vol. 66(10), pages 4630-4647, October.
    10. Hwang, Young-Soon & Min, Hong-Ghi & McDonald, Judith A. & Kim, Hwagyun & Kim, Bong-Han, 2010. "Using the credit spread as an option-risk factor: Size and value effects in CAPM," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2995-3009, December.
    11. Yacine Belghitar & Ephraim Clark & Konstantino Kassimatis, 2019. "A measure of total firm performance: new insights for the corporate objective," Annals of Operations Research, Springer, vol. 281(1), pages 121-141, October.
    12. F. Pizzutilo, 2012. "The behaviour of the distributions of stock returns: an analysis of the European market using the Pearson system of continuous probability distributions," Applied Financial Economics, Taylor & Francis Journals, vol. 22(20), pages 1743-1752, October.
    13. Ephraim Clark & Zhuo Qiao & Wing-Keung Wong, 2016. "Theories Of Risk: Testing Investor Behavior On The Taiwan Stock And Stock Index Futures Markets," Economic Inquiry, Western Economic Association International, vol. 54(2), pages 907-924, April.
    14. Levy, Haim & Levy, Moshe, 2009. "The safety first expected utility model: Experimental evidence and economic implications," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1494-1506, August.
    15. Yacine Belghitar & Ephraim Clark & Nitin Deshmukh, 2017. "Importance Of The Fund Management Company In The Performance Of Socially Responsible Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(3), pages 349-367, September.
    16. Cumova, Denisa & Nawrocki, David, 2014. "Portfolio optimization in an upside potential and downside risk framework," Journal of Economics and Business, Elsevier, vol. 71(C), pages 68-89.
    17. Clark, Ephraim & Kassimatis, Konstantinos, 2014. "Exploiting stochastic dominance to generate abnormal stock returns," Journal of Financial Markets, Elsevier, vol. 20(C), pages 20-38.
    18. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
    19. Belghitar, Yacine & Clark, Ephraim & Deshmukh, Nitin, 2014. "Does it pay to be ethical? Evidence from the FTSE4Good," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 54-62.
    20. Dirk Broeders & An Chen, 2008. "Pension regulation and the market value of pension liabilities - a contingent claims analysis using Parisian options," DNB Working Papers 183, Netherlands Central Bank, Research Department.
    21. Ormos Mihály & Timotity Dusán, 2017. "The Case of “Less is More”: Modelling Risk-Preference with Expected Downside Risk," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 17(2), pages 1-14, June.
    22. Eikseth, Hans Marius & Lindset, Snorre, 2009. "A note on capital asset pricing and heterogeneous taxes," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 573-577, March.
    23. Potì, Valerio & Wang, DengLi, 2010. "The coskewness puzzle," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1827-1838, August.
    24. Hou, Yang & Holmes, Mark, 2017. "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper 82000, University Library of Munich, Germany.
    25. Kostakis, Alexandros & Muhammad, Kashif & Siganos, Antonios, 2012. "Higher co-moments and asset pricing on London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 913-922.
    26. Hwang, Soosung & Satchell, Steve E., 2010. "How loss averse are investors in financial markets?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2425-2438, October.
    27. Chan, Raymond H. & Clark, Ephraim & Wong, Wing-Keung, 2016. "On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors with Analysis of their Traditional and Internet Stocks," MPRA Paper 75002, University Library of Munich, Germany.
    28. Grauer, Robert R. & Janmaat, Johannus A., 2010. "Cross-sectional tests of the CAPM and Fama-French three-factor model," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 457-470, February.
    29. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
    30. Fabio Pizzutilo, 2012. "Use of the Pearson System of Frequency Curves for the Analysis of Stock Return Distributions: Evidence and Implications for the Italian Market," Economics Bulletin, AccessEcon, vol. 32(1), pages 272-281.
    31. Ortas, Eduardo & Moneva, José M. & Salvador, Manuel, 2012. "Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil," Emerging Markets Review, Elsevier, vol. 13(4), pages 581-597.
    32. Lu, Qinye & Vivian, Andrew, 2020. "Domestically formed international diversification," Journal of International Money and Finance, Elsevier, vol. 103(C).
    33. Moreno, David & Rodríguez, Rosa, 2009. "The value of coskewness in mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1664-1676, September.
    34. Annaert, Jan & Osselaer, Sofieke Van & Verstraete, Bert, 2009. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 272-280, February.
    35. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
    36. Javid, Attiya Yasmin, 2009. "Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market," MPRA Paper 38059, University Library of Munich, Germany.
    37. Högholm, Kenneth & Knif, Johan & Koutmos, Gregory & Pynnönen, Seppo, 2011. "Distributional asymmetry of loadings on market co-moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 851-866.
    38. Clark, Ephraim & Qiao, Zhuo, 2020. "The value premium puzzle, behavior versus risk: New evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 12-21.

  4. Post, Thierry & van Vliet, Pim, 2006. "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
    See citations under working paper version above.
  5. Guido Baltussen & Thierry Post & Pim van Vliet, 2006. "Violations of Cumulative Prospect Theory in Mixed Gambles with Moderate Probabilities," Management Science, INFORMS, vol. 52(8), pages 1288-1290, August.

    Cited by:

    1. Rosenblatt-Wisch, Rina, 2008. "Loss aversion in aggregate macroeconomic time series," European Economic Review, Elsevier, vol. 52(7), pages 1140-1159, October.
    2. von Gaudecker, H.M. & van Soest, A.H.O. & Wengstrom, E., 2009. "Heterogeneity in Risky Choice Behavior in a Broad Population," Discussion Paper 2009-12, Tilburg University, Center for Economic Research.
    3. Philip Bromiley, 2009. "A Prospect Theory Model of Resource Allocation," Decision Analysis, INFORMS, vol. 6(3), pages 124-138, September.
    4. M. Levy, 2010. "Loss aversion and the price of risk," Quantitative Finance, Taylor & Francis Journals, vol. 10(9), pages 1009-1022.
    5. Salvatore Greco & Fabio Rindone, 2014. "The bipolar Choquet integral representation," Theory and Decision, Springer, vol. 77(1), pages 1-29, June.
    6. H. Schlesinger & L. Eeckhoudt & I. Tsetlin, 2009. "Apportioning of risks via stochastic dominance," Post-Print hal-00567952, HAL.
    7. Cumova, Denisa & Nawrocki, David, 2014. "Portfolio optimization in an upside potential and downside risk framework," Journal of Economics and Business, Elsevier, vol. 71(C), pages 68-89.
    8. Louis Eeckhoudt & Harris Schlesinger & Ilia Tsetlin, 2008. "Apportioning of Risks via Stochastic Dominance," CESifo Working Paper Series 2467, CESifo.
    9. Doron Sonsino & Mosi Rosenboim & Tal Shavit, 2017. "The valuation “by-tranche” of composite investment instruments," Theory and Decision, Springer, vol. 82(3), pages 353-393, March.
    10. Ranoua Bouchouicha & Lachlan Deer & Ashraf Galal Eid & Peter McGee & Daniel Schoch & Hrvoje Stojic & Jolanda Ygosse-Battisti & Ferdinand M. Vieider, 2019. "Gender effects for loss aversion: Yes, no, maybe?," Journal of Risk and Uncertainty, Springer, vol. 59(2), pages 171-184, October.
    11. Charles-Cadogan, G., 2018. "Losses loom larger than gains and reference dependent preferences in Bernoulli’s utility function," Journal of Economic Behavior & Organization, Elsevier, vol. 154(C), pages 220-237.
    12. George Wu & Alex B. Markle, 2008. "An Empirical Test of Gain-Loss Separability in Prospect Theory," Management Science, INFORMS, vol. 54(7), pages 1322-1335, July.
    13. Ferdinand Vieider, 2016. "Certainty Preference, Random Choice, and Loss Aversion: A Comment on "Violence and Risk Preference: Experimental Evidence from Afghanistan"," Economics Discussion Papers em-dp2016-06, Department of Economics, Reading University.
    14. Fang, Yi, 2012. "Aggregate investor preferences and beliefs in stock market: A stochastic dominance analysis," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 528-547.

  6. Michael J. Seiler & David M. Harrison & Pim Van Vliet & Kit Ching Yeung, 2005. "Return Characteristics of State‐Owned and Non‐State‐Owned Chinese A Shares," The Financial Review, Eastern Finance Association, vol. 40(4), pages 533-548, November.

    Cited by:

    1. Phong Nguyen & Chuong Dang & Lam Nguyen, 2015. "Would Better Earning, Work Environment, and Promotion Opportunities Increase Employee Performance? An Investigation in State and Other Sectors in Vietnam," Public Organization Review, Springer, vol. 15(4), pages 565-579, December.

  7. Thierry Post & Pim Vliet, 2004. "Market portfolio efficiency and value stocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 28(3), pages 300-306, September.

    Cited by:

    1. Rudolf F. Klein & K. Victor Chow, 2010. "Sentiment Effect and Market Portfolio Inefficiency," Working Papers 10-08, Department of Economics, West Virginia University.

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