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Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
Citations
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Cited by:
- Martin Indergand & Eric Jondeau & Andreas Fuster, 2022.
"Measuring and Stress-Testing Market-Implied Bank Capital,"
Swiss Finance Institute Research Paper Series
22-11, Swiss Finance Institute.
- Martin Indergand & Eric Jondeau & Andreas Fuster, 2022. "Measuring and stress-testing market-implied bank capital," Working Papers 2022-02, Swiss National Bank.
- Thomas Conlon & John Cotter & Iason Kynigakis, 2021.
"Machine Learning and Factor-Based Portfolio Optimization,"
Working Papers
202111, Geary Institute, University College Dublin.
- Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Papers 2107.13866, arXiv.org.
- Naeem, Muhammad Abubakr & Balli, Faruk & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2020. "Energy commodity uncertainties and the systematic risk of US industries," Energy Economics, Elsevier, vol. 85(C).
- Emilija Dzuverovic & Matteo Barigozzi, 2023. "Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices," Papers 2305.08488, arXiv.org, revised Jul 2024.
- Correa, Ricardo & Goldberg, Linda S., 2022.
"Bank complexity, governance, and risk,"
Journal of Banking & Finance, Elsevier, vol. 134(C).
- Ricardo Correa & Linda S. Goldberg, 2020. "Bank Complexity, Governance, and Risk," International Finance Discussion Papers 1287, Board of Governors of the Federal Reserve System (U.S.).
- Ricardo Correa & Linda S. Goldberg, 2020. "Bank Complexity, Governance, and Risk," NBER Working Papers 27547, National Bureau of Economic Research, Inc.
- Ricardo Correa & Linda S. Goldberg, 2020. "Bank Complexity, Governance, and Risk," Staff Reports 930, Federal Reserve Bank of New York.
- Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021.
"Long- and short-run components of factor betas: Implications for stock pricing,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020. "Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing," IRTG 1792 Discussion Papers 2020-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Hasan, Mostafa Monzur & Chen, Xiaomeng Charlene, 2023. "Strategic deviation and idiosyncratic return volatility," Finance Research Letters, Elsevier, vol. 54(C).
- Gianluca De Nard & Olivier Ledoit & Michael Wolf, 2018. "Factor models for portfolio selection in large dimensions: the good, the better and the ugly," ECON - Working Papers 290, Department of Economics - University of Zurich, revised Dec 2018.
- Akyildirim, Erdinc & Nguyen, Duc Khuong & Sensoy, Ahmet, 2018.
"A tale of two risks in the EMU sovereign debt markets,"
Economics Letters, Elsevier, vol. 172(C), pages 102-106.
- Erdinc Akyildirim & Duc Khuong Nguyen & Ahmet Sensoy, 2018. "A Tale of Two Risks in the EMU Sovereign Debt Markets," Working Papers 2018-004, Department of Research, Ipag Business School.
- Lioui, Abraham & Tarelli, Andrea, 2020. "Factor Investing for the Long Run," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
- Quaye, Enoch & Tunaru, Diana & Tunaru, Radu, 2024. "Green-adjusted share prices: A comparison between standard investors and investors with green preferences," Journal of Financial Stability, Elsevier, vol. 74(C).
- Sebastien Valeyre & Sofiane Aboura & Denis Grebenkov, 2019. "The Reactive Beta Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(1), pages 71-113, March.
- de Oliveira Souza, Thiago, 2020. "Observable implications of the conditional CAPM," Discussion Papers on Economics 13/2020, University of Southern Denmark, Department of Economics.
- Hong, Jiawei & Yu, Xiaojian & Xiao, Weilin & Zhang, Xili, 2022. "The dispersion of beta estimates and the investors’ heterogeneous Beliefs:Evidence from the stock market in China," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 540-550.
- Auh, Jun Kyung & Cho, Wonho, 2023. "Factor-based portfolio optimization," Economics Letters, Elsevier, vol. 228(C).
- Sebastien Valeyre, 2020. "Refined model of the covariance/correlation matrix between securities," Papers 2001.08911, arXiv.org.
- Kenneth Hogholm & Johan Knif & Gregory Koutmos & Seppo Pynnonen, 2017. "Asymmetric Fund Performance Characteristics A Comparison of European and US Large-Cap Funds," Multinational Finance Journal, Multinational Finance Journal, vol. 21(1), pages 1-20, March.
- Sun, Yang & Zhang, Xuan & Zhang, Zhekai, 2022. "The reduced-rank beta in linear stochastic discount factor models," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Bing XIAO, 2016. "Conditional Relationship Between Beta and Return in the US Stock Market," Expert Journal of Business and Management, Sprint Investify, vol. 4(1), pages 46-55.
- Insana, Alessandra, 2022. "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, vol. 109(C).
- Markus Pelger, 2020. "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, vol. 75(4), pages 2179-2220, August.
- Christian Fieberg & Gerrit Liedtke & Thorsten Poddig, 2025. "Recurrent double-conditional factor model," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 47(1), pages 205-254, March.
- Cenesizoglu, Tolga & Reeves, Jonathan J., 2018. "CAPM, components of beta and the cross section of expected returns," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 223-246.
- Kevin Sheppard & Wen Xu, 2019. "Factor High-Frequency-Based Volatility (HEAVY) Models," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 33-65.
- Sebastien Valeyre & Denis S. Grebenkov & Sofiane Aboura, 2019. "The Reactive Beta Model," Papers 1911.00919, arXiv.org.
- Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Tuneshev, Ruslan, 2018. "Differences in options investors’ expectations and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 315-336.