New Evidence on Conditional Factor Models
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- Type
- article
- Published
- 2018-12-20
- Cited by
- 30
- References
- 109
- Access
- Open access
- OpenAlex
- https://openalex.org/W40520292
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:150754627
Keywords
Econometrics, Factor (programming language), Computer science, Economics
References
- Earnings Releases, Anomalies, and the Behavior of Security Returns.
- Equity Risk Factors and the Intertemporal CAPM
- Equilibrium Cross Section of Returns
- Comparing Asset Pricing Models with Traded and Macro Risk Factors
- Intertemporal asset pricing: An Empirical Investigation
- Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
- Interest Rate Risk and the Cross Section of Stock Returns
- Return Decomposition and the Intertemporal CAPM
- Common risk factors in the returns on stocks and bonds
- Do Industries Explain Momentum
- The other side of value: The gross profitability premium.
- Asset returns and inflation
- Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement
- Time-Varying Conditional Covariances in Tests of Asset Pricing Models
- Is the Value Spread a Useful Predictor of Returns
- A Cross-Sectional Test of an Investment-Based Asset Pricing Model
- The Persistence of Mutual Fund Performance
- Interpreting the Value Effect Through the Q-Theory: An Empirical Investigation
- Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas
- CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Cited by
- Comparing Asset Pricing Models with Traded and Macro Risk Factors
- Investigating New Multifactor Models with a Conditional Dual-Beta : Can a Conditional Dual-Beta in the Market Factor add Explanatory Value in New Multifactor Models? A study of the Swedish Stock Market between 2003 and 2015
- Partial Moment Momentum
- The risk-return trade-off among equity factors
- Macro-Finance and Factor Timing: Time-Varying Factor Risk and Price of Risk Premiums
- Wage Growth and Equity Risk Premia
- The Cross-Section of Currency Appreciation Rates
- Machine Learning for Factor Investing
- A Comparison of New Factor Models: Evidence From Turkey
- Portfolio Efficiency with High-Dimensional Data As Conditioning Information
- Asset pricing implications of money: New evidence
- An Intertemporal Risk Factor Model
- ICAPM and the Accruals Anomaly
- Taking stock of long-horizon predictability tests: Are factor returns predictable?
- Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
- What Does the Cross‐Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Moments
- PAY GETİRİLERİNİN TAHMİNİNDE Q FAKTÖR MODELİNİN GEÇERLİLİĞİNİN TEST EDİLMESİ: BIST İMALAT SANAYİ SEKTÖRÜNDE BİR UYGULAMA TESTING OF THE VALIDITY OF THE Q FACTOR MODEL TO ESTIMATING STOCK RETURNS: AN APPLICATION ON THE BIST MANUFACTURING INDUSTRY
- A Review on Machine Learning for Asset Management
- Asset growth and stock returns in european equity markets: Implications of investment and accounting distortions
- Multifactor Models and Their Consistency with the APT
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