Incremental variables and the investment opportunity set

Citations

Cited by:

1. van Zundert, Jeroen & Driessen, Joost, 2022. "Stocks versus corporate bonds: A cross-sectional puzzle," Journal of Banking & Finance, Elsevier, vol. 137(C).
2. Yang Zhao & Charalampos Stasinakis & Georgios Sermpinis & Filipa Da Silva Fernandes, 2019. "Revisiting Fama–French factors' predictability with Bayesian modelling and copula‐based portfolio optimization," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1443-1463, October.
3. Berggrun, Luis & Cardona, Emilio & Lizarzaburu, Edmundo, 2020. "Firm profitability and expected stock returns: Evidence from Latin America," Research in International Business and Finance, Elsevier, vol. 51(C).
4. Nabil Sifouh & Ismail Benslimane & Karim Ameziane, 2024. "A critical look at teaching and doing research in finance," Post-Print hal-04936832, HAL.
5. Tseng, Kevin, 2022. "Learning from the Joneses: Technology spillover, innovation externality, and stock returns," Journal of Accounting and Economics, Elsevier, vol. 73(2).
6. Konan Chan & Mei‐Xuan Li & Chu‐Bin Lin & Yanzhi Wang, 2022. "Organization capital effect in stock returns—The role of R&D," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(7-8), pages 1237-1263, July.
7. Rahul Roy & Santhakumar Shijin, 2018. "A six-factor asset pricing model," Papers 1810.07790, arXiv.org.
8. Mikhail Chernov & Lars A Lochstoer & Stig R H Lundeby, 2022. "Conditional Dynamics and the Multihorizon Risk-Return Trade-Off," The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1310-1347.
   • Mikhail Chernov & Lars A. Lochstoer & Stig R. H. Lundeby, 2018. "Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off," NBER Working Papers 25361, National Bureau of Economic Research, Inc.
   • Chernov, Mikhail & Lochstoer, Lars & Lundeby, Stig, 2018. "Conditional dynamics and the multi-horizon risk-return trade-off," CEPR Discussion Papers 13365, Centre for Economic Policy Research.
9. Fletcher, Jonathan, 2018. "An empirical examination of the diversification benefits of U.K. international equity closed-end funds," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 23-34.
10. Hearn, Bruce & Tauringana, Venancio & Ntim, Collins & Malagila, John K. & Mishra, Tapas, 2025. "Asset pricing in African frontier equity markets," International Review of Financial Analysis, Elsevier, vol. 97(C).
11. Suresh Govindaraj & Yubin Li & Chen Zhao, 2020. "The effect of option transaction costs on informed trading in the options market around earnings announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 47(5-6), pages 615-644, May.
12. Julian Amon & Margarethe Rammerstorfer & Karl Weinmayer, 2021. "Environmental Portfolios—Evidence from Screening and Passive Portfolio Management," Sustainability, MDPI, vol. 13(22), pages 1-23, November.
13. Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
14. Hartwell, Christopher A. & Malinowska, Anna P., 2019. "Informal institutions and firm valuation," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
15. Harvey, Campbell R. & Liu, Yan, 2021. "Lucky factors," Journal of Financial Economics, Elsevier, vol. 141(2), pages 413-435.
16. Bera, Anil Kumar & Uyar, Umut & Kangalli Uyar, Sinem Guler, 2020. "Analysis of the five-factor asset pricing model with wavelet multiscaling approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 414-423.
17. Tavares, Natalia Alves & da Gama Silva, Paulo Vitor Jordão & Klotzle, Marcelo Cabus, 2025. "Investigation of the intentional and spurious herding effects in the cryptocurrency market with global events," The Quarterly Review of Economics and Finance, Elsevier, vol. 102(C).
18. Smith, Simon C., 2022. "Time-variation, multiple testing, and the factor zoo," International Review of Financial Analysis, Elsevier, vol. 84(C).
19. Fabozzi, Frank J. & Huang, Dashan & Jiang, Fuwei & Wang, Jiexun, 2024. "What difference do new factor models make in portfolio allocation?," Journal of International Money and Finance, Elsevier, vol. 140(C).
20. Dazhi Zheng & Huimin Li & Fengyun Li, 2024. "Capital gain overhang and risk–return trade‐off: An international study," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 47(1), pages 211-242, March.
21. Hanke, Michael & Penev, Spiridon, 2018. "Comparing large-sample maximum Sharpe ratios and incremental variable testing," European Journal of Operational Research, Elsevier, vol. 265(2), pages 571-579.
22. Rahul Roy & Santhakumar Shijin, 2018. "A six-factor asset pricing model," Post-Print hal-01878923, HAL.
23. Julian Amon & Margarethe Rammerstorfer & Karl Weinmayer, 2021. "Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors," Sustainability, MDPI, vol. 13(16), pages 1-21, August.
24. 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.
25. Hearn, Bruce & Filatotchev, Igor & Goergen, Marc, 2025. "Dispersed ownership and asset pricing: An unpriced premium associated with free float," Journal of Corporate Finance, Elsevier, vol. 92(C).
26. Jonathan Fletcher, 2017. "An Empirical Examination of the Incremental Contribution of Stock Characteristics in UK Stock Returns," IJFS, MDPI, vol. 5(4), pages 1-19, October.
27. Smith, Simon C. & Timmermann, Allan, 2022. "Have risk premia vanished?," Journal of Financial Economics, Elsevier, vol. 145(2), pages 553-576.
28. Zeng, Kailin & Tang, Ting & Liu, Fangbiao & Atta Mills, Ebenezer Fiifi Emire, 2022. "Innovation links, information diffusion, and return predictability: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 83(C).