1. Which Beta Is Best? On the Information Content of Option€ implied Betas. (2016). Saning, Sven ; Baule, Rainer ; Korn, Olaf.
   In: European Financial Management.
   RePEc:bla:eufman:v:22:y:2016:i:3:p:450-483.

   Full description at Econpapers || Download paper

2. Which beta is best? On the information content of option-implied betas. (2013). Saning, Sven ; Baule, Rainer ; Korn, Olaf.
   In: CFR Working Papers.
   RePEc:zbw:cfrwps:1311.

   Full description at Econpapers || Download paper

3. Capital Asset Pricing Model. (2010). Gatfaoui, Hayette.
   In: Post-Print.
   RePEc:hal:journl:hal-00589904.

   Full description at Econpapers || Download paper

4. Conditional Asset Pricing and Stock Market Anomalies in Europe. (2010). Bauer, Rob ; Schotman, Peter C ; Cosemans, Mathijs.
   In: European Financial Management.
   RePEc:bla:eufman:v:16:y:2010:i:2:p:165-190.

   Full description at Econpapers || Download paper

1. Avramov, Doron ; Chao, John C.. (2006). An Exact Bayes Test of Asset Pricing Models with Application to International Markets*. In: J BUS, 79 1 pp. 293-324.

2. Banz, Rolf W.. (1981). The relationship between return and market value of common stocks. In: Journal of Financial Economics, 9 1 pp. 3-18.

3. Basu, S.. (1977). Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis. In: The Journal of Finance, 32 3 pp. 663.

4. Bauwens L., 1999. Bayesian Inference in Dynamic Econometric Models
   Paper not yet in RePEc: Add citation now
   

5. Berglund, Tom ; Knif, Johan. (1999). Accounting for the Accuracy of Beta Estimates in CAPM Tests on Assets with Time-varying Risks. In: Eur Financial Management, 5 1 pp. 29-42.

6. Braun, Phillip A. ; Nelson, Daniel B. ; Sunier, Alain M.. (1995). Good News, Bad News, Volatility, and Betas. In: The Journal of Finance, 50 5 pp. 1575.

7. Carlin B. P., 2000. Bayes and Empirical Bayes Methods for Data Analysis
   Paper not yet in RePEc: Add citation now
   
8. Carlin, Bradley P. ; Polson, Nicholas G. ; Stoffer, David S.. (1992). A Monte Carlo Approach to Nonnormal and Nonlinear State-Space Modeling. In: Journal of the American Statistical Association, 87 418 pp. 493.
   Paper not yet in RePEc: Add citation now
   

9. Chan, Louis K. C. ; Hamao, Yasushi ; Lakonishok, Josef. (1991). Fundamentals and Stock Returns in Japan. In: The Journal of Finance, 46 5 pp. 1739.

10. Denison D. G., 2002. Bayesian Methods for Nonlinear Classification and Regression
    Paper not yet in RePEc: Add citation now
    

11. Fama, Eugene F. ; French, Kenneth R.. (1992). The Cross-Section of Expected Stock Returns. In: The Journal of Finance, 47 2 pp. 427.

12. Fama, Eugene F. ; French, Kenneth R.. (1993). Common risk factors in the returns on stocks and bonds. In: Journal of Financial Economics, 33 1 pp. 3-56.

13. Fama, Eugene F. ; FrencH, Kenneth R.. (1996). Multifactor Explanations of Asset Pricing Anomalies. In: The Journal of Finance, 51 1 pp. 55.

14. Fama, Eugene F. ; MacBeth, James D.. (1973). Risk, Return, and Equilibrium: Empirical Tests. In: Journal of Political Economy, 81 3 pp. 607-636.

15. Ferson, Wayne E. ; Foerster, Stephen R.. (1994). Finite sample properties of the generalized method of moments in tests of conditional asset pricing models. In: Journal of Financial Economics, 36 1 pp. 29-55.

16. Ferson, Wayne E. ; Harvey, Campbell R.. (1991). The Variation of Economic Risk Premiums. In: Journal of Political Economy, 99 2 pp. 385-415.

17. Ferson, Wayne E. ; Harvey, Campbell R.. (1999). Conditioning Variables and the Cross Section of Stock Returns. In: The Journal of Finance, 54 4 pp. 1325-1360.

18. Ferson, Wayne E. ; Korajczyk, Robert A.. (1995). Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?. In: J BUS, 68 3 pp. 309.

19. Geweke, John ; Zhou, Guofu. (1996). Measuring the Pricing Error of the Arbitrage Pricing Theory. In: Rev. Financ. Stud., 9 2 pp. 557-587.

20. Ghysels, Eric. (1998). On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Betas Help or Hurt?. In: The Journal of Finance, 53 2 pp. 549-573.

21. Han, Cong ; Carlin, Bradley P. (2001). Markov Chain Monte Carlo Methods for Computing Bayes Factors. In: Journal of the American Statistical Association, 96 455 pp. 1122-1132.
    Paper not yet in RePEc: Add citation now
    

22. Hansen, Lars Peter ; Richard, Scott F.. (1987). The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models. In: Econometrica, 55 3 pp. 587.

23. Harvey, Campbell R ; Zhou, Guofu. (1990). Bayesian inference in asset pricing tests. In: Journal of Financial Economics, 26 2 pp. 221-254.

24. Hastings, W. K.. (1970). Monte Carlo sampling methods using Markov chains and their applications. In:, 57 1 pp. 97-109.
    Paper not yet in RePEc: Add citation now
    

25. Heston, Steven L. ; Rouwenhorst, K. Geert ; Wessels, Roberto E.. (1999). The Role of Beta and Size in the Cross-Section of European Stock Returns. In: Eur Financial Management, 5 1 pp. 9-27.

26. Jagannathan, Ravi ; Wang, Zhenyu. (1996). The Conditional CAPM and the Cross-Section of Expected Returns. In: The Journal of Finance, 51 1 pp. 3.

27. Kass, Robert E. ; Raftery, Adrian E.. (1995). Bayes Factors. In: Journal of the American Statistical Association, 90 430 pp. 773.
    Paper not yet in RePEc: Add citation now
    
28. Kim C.-J., 1999. State-Space Models with Regime Switching
    Paper not yet in RePEc: Add citation now
    
29. Kitagawa G., 1996. Smoothness Priors Analysis of Time Series
    Paper not yet in RePEc: Add citation now
    

30. Koutmos, Gregory ; Knif, Johan. (2002). Estimating Systematic Risk Using Time Varying Distributions. In: Eur Financial Management, 8 1 pp. 59-73.

31. Lavine, Michael ; Schervish, Mark J.. (1999). Bayes Factors: What They Are and What They Are Not. In: The American Statistician, 53 2 pp. 119.
    Paper not yet in RePEc: Add citation now
    
32. MacKay D. J. C., 2003. Information Theory, Inference and Learning Algorithms
    Paper not yet in RePEc: Add citation now
    

33. McCulloch, Robert ; Rossi, Peter E.. (1991). A bayesian approach to testing the arbitrage pricing theory. In: Journal of Econometrics, 49 1-2 pp. 141-168.

34. Neal, Radford M.. (2003). Slice sampling. In: Ann. Statist., 31 3 pp. 705-767.
    Paper not yet in RePEc: Add citation now
    

35. Petrella, Giovanni. (2005). Are Euro Area Small Cap Stocks an Asset Class? Evidence from Mean-Variance Spanning Tests. In: Eur Financial Management, 11 2 pp. 229-253.

36. Robert C. R., 1999. Monte Carlo Statistical Methods
    Paper not yet in RePEc: Add citation now
    
37. Robert C. R., 2005. Monte Carlo Statistical Methods
    Paper not yet in RePEc: Add citation now
    

38. Roll, Richard. (1977). A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory. In: Journal of Financial Economics, 4 2 pp. 129-176.

39. Shanken, Jay. (1987). A Bayesian approach to testing portfolio efficiency. In: Journal of Financial Economics, 19 2 pp. 195-215.

40. Wang, Kevin Q.. (2003). Asset Pricing with Conditioning Information: A New Test. In: The Journal of Finance, 58 1 pp. 161-196.

41. Zellner A., 1971. An Introduction to Bayesian Inference in Econometrics
    Paper not yet in RePEc: Add citation now
    

1. Comparing factor models with price-impact costs. (2024). Martn-Utrera, Alberto ; Demiguel, Victor ; Li, Sicong.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:162:y:2024:i:c:s0304405x24001727.

   Full description at Econpapers || Download paper

2. Integrating Factor Models. (2023). Voigt, Stefan ; Cheng, SI ; Metzker, Lior ; Avramov, Doron.
   In: Journal of Finance.
   RePEc:bla:jfinan:v:78:y:2023:i:3:p:1593-1646.

   Full description at Econpapers || Download paper

3. Time-variation, multiple testing, and the factor zoo. (2022). Smith, Simon C.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003441.

   Full description at Econpapers || Download paper

4. Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos.
   In: Papers.
   RePEc:arx:papers:2208.02573.

   Full description at Econpapers || Download paper

5. Asset pricing model uncertainty. (2019). Borup, Daniel.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:54:y:2019:i:c:p:166-189.

   Full description at Econpapers || Download paper

6. On Flexible Linear Factor Stochastic Volatility Models. (2015). Malefaki, Valia .
   In: MPRA Paper.
   RePEc:pra:mprapa:62216.

   Full description at Econpapers || Download paper

7. Comparing Asset Pricing Models. (2015). Shanken, Jay ; Barillas, Francisco.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:21771.

   Full description at Econpapers || Download paper

8. Which Alpha?. (2015). Shanken, Jay ; Barillas, Francisco.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:21698.

   Full description at Econpapers || Download paper

9. Time-varying short-horizon predictability. (2011). Henkel, Sam ; Martin, Spencer J. ; Nardari, Federico.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:99:y:2011:i:3:p:560-580.

   Full description at Econpapers || Download paper

10. The value of audit qualifications in China. (2010). Wang, YI ; Green, Wendy ; Czernkowski, Robert.
    In: Managerial Auditing Journal.
    RePEc:eme:majpps:v:25:y:2010:i:5:p:404-426.

    Full description at Econpapers || Download paper

11. Measuring the economic significance of mean-variance spanning. (2009). Glabadanidis, Paskalis.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:49:y:2009:i:2:p:596-616.

    Full description at Econpapers || Download paper

12. Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach. (2008). Ammann, Manuel ; Verhofen, Michael.
    In: European Financial Management.
    RePEc:bla:eufman:v:14:y:2008:i:3:p:391-418.

    Full description at Econpapers || Download paper

13. Why Do REITs Repurchase Stock? Extricating the Effect of Managerial Signaling in Open Market Share Repurchase Announcements. (2006). Brau, James C. ; Holmes, Andrew.
    In: Journal of Real Estate Research.
    RePEc:jre:issued:v:28:n:1:2006:p:1-24.

    Full description at Econpapers || Download paper

14. Time Varying Sensitivities on a GRID architecture. (2005). d'Addona, Stefano ; Ciprian, Mattia.
    In: Finance.
    RePEc:wpa:wuwpfi:0511007.

    Full description at Econpapers || Download paper

15. Concurrent capital expenditure and the stock market reaction to corporate alliance announcements. (2005). Burton, Bruce.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:10:p:715-729.

    Full description at Econpapers || Download paper

16. CAPM Over the Long Run: 1926-2001. (2005). Ang, Andrew ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11903.

    Full description at Econpapers || Download paper

17. Expected Returns, Yield Spreads, and Asset Pricing Tests. (2005). Zhang, Lu ; Chen, Long ; Campello, Murillo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11323.

    Full description at Econpapers || Download paper

18. Momentum Profits in Alternative Stock Market Structures. (2005). Chelley-Steeley, Patricia ; Siganos, Antonios.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:63.

    Full description at Econpapers || Download paper

19. Prospect Theory and the Size and Value Premium Puzzles. (2005). De Giorgi, Enrico ; Hens, Thorsten ; Post, Thierry.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2005_020.

    Full description at Econpapers || Download paper

20. Making Prospect Theory Fit for Finance. (2005). De Giorgi, Enrico ; Hens, Thorsten.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2005_019.

    Full description at Econpapers || Download paper

21. Size and value anomalies under regime shifts. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-007.

    Full description at Econpapers || Download paper

22. A survey on risk-return analysis. (2004). Galagedera, Don.
    In: Finance.
    RePEc:wpa:wuwpfi:0406010.

    Full description at Econpapers || Download paper

23. Equity Style Returns and Institutional Investor Flows. (2004). Froot, Kenneth ; Teo, Melvyn.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10355.

    Full description at Econpapers || Download paper

24. Investment Strategies, Fund Performance and Portfolio Characteristics. (2004). Engstrom, Stefan.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0554.

    Full description at Econpapers || Download paper

25. Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach. (2004). Karlsson, Sune ; Parmler, Johan.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0524.

    Full description at Econpapers || Download paper

26. Are calculated betas good for anything?. (2004). Fernandez, Pablo ; natalia, natalia.
    In: IESE Research Papers.
    RePEc:ebg:iesewp:d-0555.

    Full description at Econpapers || Download paper

27. The explaining role of the Earning-Price Ratio in the Spanish Stock Market. (2003). Gil-Alana, Luis ; DePea, Javier.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0303.

    Full description at Econpapers || Download paper

28. The stable long-run CAPM and the cross-section of expected returns. (2002). Kim, Jeong-Ryeol.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4170.

    Full description at Econpapers || Download paper

29. The long-horizon returns behaviour of the Portuguese stock market1. (2002). Nelson Manuel P. B. C. Areal, ; Manuel Jose da Rocha Armada, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:8:y:2002:i:1:p:93-122.

    Full description at Econpapers || Download paper

30. What Factors Determine International Real Estate Security Returns?. (2002). Hoesli, Martin ; Hamelink, Foort.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0007.

    Full description at Econpapers || Download paper

31. The extreme bounds of the cross-section of expected stock returns. (2002). Durham, J. Benson.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2002-34.

    Full description at Econpapers || Download paper

32. A quantile regression analysis of the cross section of stock market returns. (2002). Barnes, Michelle ; Hughes, Anthony W..
    In: Working Papers.
    RePEc:fip:fedbwp:02-2.

    Full description at Econpapers || Download paper

33. Momentum and Turnover: Evidence from the German Stock Market. (2002). Weber, Martin ; Glaser, Markus.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3353.

    Full description at Econpapers || Download paper

34. Common Risk Factors in Explaining Canadian Equity Returns. (2001). .
    In: Working Papers.
    RePEc:tor:tecipa:berk-00-01.

    Full description at Econpapers || Download paper

35. Estimation of global systematic risk for securities listed in multiple markets. (2001). Prakash, Arun ; Gauri L. Ghai, Maria E. De Boyrie, Shahid Hamid, A, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:7:y:2001:i:2:p:117-130.

    Full description at Econpapers || Download paper

36. Corporate Governance Policy and Company Performance: The Case of Portugal. (2001). Mendes, Victor ; Alves, Carlos.
    In: FEP Working Papers.
    RePEc:por:fepwps:112.

    Full description at Econpapers || Download paper

37. What Drives Firm-Level Stock Returns?. (2001). Vuolteenaho, Tuomo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8240.

    Full description at Econpapers || Download paper

38. Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998. (2001). Graflund, Andreas .
    In: Working Papers.
    RePEc:hhs:lunewp:2001_008.

    Full description at Econpapers || Download paper

39. A cointegration approach to the lead-lag effect among size-sorted equity portfolios. (2001). Kouretas, Georgios ; Kanas, Angelos.
    In: Working Papers.
    RePEc:crt:wpaper:0101.

    Full description at Econpapers || Download paper

40. News Related to Future GDP Growth as a Risk Factor in Equity Returns. (2001). Vassalou, Maria .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3057.

    Full description at Econpapers || Download paper

41. Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability. (2000). Lynch, Anthony W..
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-073.

    Full description at Econpapers || Download paper

42. Market Microstructure and Asset Pricing: A Survey. (1999). HEIDLE, HANS GERHARD.
    In: Discussion Papers.
    RePEc:rif:dpaper:691.

    Full description at Econpapers || Download paper

43. Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks. (1999). Engle, Robert ; Cho, Young-Hye.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7330.

    Full description at Econpapers || Download paper

44. Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?. (1999). Titman, Sheridan ; Daniel, Kent ; K. C. John Wei, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7246.

    Full description at Econpapers || Download paper

45. What Determines Firm Size?. (1999). Zingales, Luigi ; Rajan, Raghuram ; Kumar, Krishna.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7208.

    Full description at Econpapers || Download paper

46. New Facts in Finance. (1999). Cochrane, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7169.

    Full description at Econpapers || Download paper

47. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. (1999). Titman, Sheridan ; Jegadeesh, Narasimhan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7159.

    Full description at Econpapers || Download paper

48. The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings. (1999). Keim, Donald ; hawawini, gabriel.
    In: Rodney L. White Center for Financial Research Working Papers.
    RePEc:fth:pennfi:08-99.

    Full description at Econpapers || Download paper

49. New facts in finance. (1999). Cochrane, John.
    In: Economic Perspectives.
    RePEc:fip:fedhep:y:1999:i:qiii:p:36-58:n:v.23no.3.

    Full description at Econpapers || Download paper

50. What Determines Firm Size?. (1999). Zingales, Luigi ; Rajan, Raghuram ; Kumar, Krishna.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2211.

    Full description at Econpapers || Download paper

51. Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth. (1999). Vassalou, Maria ; Liew, Jimmy .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2180.

    Full description at Econpapers || Download paper

52. Macroeconomic Variables, Firm-Specific Variables and Returns to REITs. (1998). Vines, Timothy W. ; Chen, Su-Jane ; Chiou, Shur-Nuaan ; Hsieh, Chengho.
    In: Journal of Real Estate Research.
    RePEc:jre:issued:v:16:n:3:1998:p:269-278.

    Full description at Econpapers || Download paper

53. A Spline Analysis of the Small Firm Effect: Does Size Really Matter?. (1996). Horowitz, Joel ; Loughran, Tim ; Savin, N. E..
    In: Econometrics.
    RePEc:wpa:wuwpem:9608001.

    Full description at Econpapers || Download paper

54. Evidence on the Characteristics of Cross Sectional Variation in Stock Returns. (1996). Titman, Sheridan ; Daniel, Kent.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5604.

    Full description at Econpapers || Download paper

55. The conditional CAPM and the cross-section of expected returns. (1996). Wang, Zhenyu ; Jagannathan, Ravi.
    In: Staff Report.
    RePEc:fip:fedmsr:208.

    Full description at Econpapers || Download paper

56. The cross-section of stock returns : evidence from emerging markets. (1995). Dasgupta, Susmita ; Claessens, Stijn ; Glen, Jack.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:1505.

    Full description at Econpapers || Download paper

57. Property Type, Size, and REIT Value. (1995). Capozza, Dennis ; Lee, Sohan.
    In: Journal of Real Estate Research.
    RePEc:jre:issued:v:10:n:5:1994:p:363-380.

    Full description at Econpapers || Download paper

58. The CAPM debate. (1995). McGrattan, Ellen ; Jagannathan, Ravi ; Jagnnathan, Ravi.
    In: Quarterly Review.
    RePEc:fip:fedmqr:y:1995:i:fall:p:2-17:n:v.19no.4.

    Full description at Econpapers || Download paper

59. An Examination of the Small-Firm Effect within the REIT Industry. (1991). Liang, Youguo ; McIntosh, Willard ; Tompkins, Daniel L..
    In: Journal of Real Estate Research.
    RePEc:jre:issued:v:6:n:1:1991:p:9-18.

    Full description at Econpapers || Download paper

60. Data-Snooping Biases in Tests of Financial Asset Pricing Models. (1989). Lo, Andrew ; MacKinlay, Craig A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3001.

    Full description at Econpapers || Download paper

61. What Determines Firm Size?. (). Zingales, Luigi ; Rajan, Raghuram ; Kumar, Krishna.
    In: CRSP working papers.
    RePEc:wop:chispw:496.

    Full description at Econpapers || Download paper

62. Too much cocited documents. This list is not complete

Report date: 2025-09-30 20:43:51 || Missing content? Let us know