1

Disentangling Beta and Value Premium Using Macroeconomic Risk Factors

Year:
2012
Language:
english
File:
PDF, 168 KB
english, 2012
6

What drives the implied volatility of index options?

Year:
2010
Language:
english
File:
PDF, 338 KB
english, 2010
7

Stock returns, size, and book‐to‐market equity

Year:
2009
Language:
english
File:
PDF, 217 KB
english, 2009
8

Modified Beta and Cross-Sectional Stock Returns

Year:
2012
Language:
english
File:
PDF, 571 KB
english, 2012
9

Do the common risk factors always capture strong variation in stock returns?

Year:
2008
Language:
english
File:
PDF, 107 KB
english, 2008