- Alquist, R., Frazzini, A., Ilmanen, A. & Pedersen, L.H. (2020) Fact and fiction about low‐risk investing. The Journal of Portfolio Management, 46, 72–92. Available from: https://doi.org/10.3905/jpm.2020.1.146.
Paper not yet in RePEc: Add citation now
- Alquist, R., Israel, R. & Moskowitz, T. (2018) Fact, fiction, and the size effect. The Journal of Portfolio Management, 45, 3–30. Available from: https://doi.org/10.3905/jpm.2018.1.082.
Paper not yet in RePEc: Add citation now
Altman, E. (1968) Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 23, 589–609. Available from: https://doi.org/10.1111/j.1540‐6261.1968.tb00843.x.
- Altman, E.I., Laitinen, E.K. & Suvas, A. (2017) Financial distress prediction in an international context: a review and empirical analysis of Altman's Z‐score model. Journal of International Financial Management and Accounting, 28(2), 131–171. Available from: https://doi.org/10.1111/jifm.12053.
Paper not yet in RePEc: Add citation now
Amel‐Zadeh, A. (2011) The return of the size anomaly: evidence from the German stock market. European Financial Management, 17(1), 145–182. Available from: https://doi.org/10.1111/j.1468‐036X.2010.00581.x.
- Ammann, M., Hemauer, T. & Straumann, S. (2023) A five‐factor asset pricing model with enhanced factors. Available from: https://doi.org/10.2139/ssrn.4336292.
Paper not yet in RePEc: Add citation now
Asness, C., Frazzini, A., Gormsen, N.J. & Pedersen, L.H. (2020) Betting against correlation: testing theories of the low‐risk effect. Journal of Financial Economics, 135, 629–652. Available from: https://doi.org/10.1016/j.jfineco.2019.07.003.
- Azofra Palenzuela, V., Rodríguez‐Sanz, J.A. & Vallelado, E. (1997) Determinantes del riesgo de las empresas industriales españolas. Revista Española de Financiación y Contabilidad, 26(92), 749–775.
Paper not yet in RePEc: Add citation now
- Baba‐Yara, F., Carter, D., Grigoris, F. & Kantak, P. (2023) Are uncertain firms riskier? Available from: https://doi.org/10.2139/ssrn.4354256.
Paper not yet in RePEc: Add citation now
Bali, T. (2008) The intertemporal relation between expected returns and risk. Journal of Financial Economics, 87, 101–131. Available from: https://doi.org/10.1016/j.jfineco.2007.03.002.
- Beaver, W., Kettler, P. & Scholes, M. (1970) The association between market determined and accounting determined risk measures. The Accounting Review, 45(4), 654–682.
Paper not yet in RePEc: Add citation now
- Bhatt, V. & Rajaram, Y. (2014) The effectiveness of Fama and French 3 factor model in predicting globally diversified portfolio returns. International Journal of Innovative Research in Science, Engineering, and Technology, 3, 18385–18389. Available from: https://doi.org/10.15680/IJIRSET.2014.0312085.
Paper not yet in RePEc: Add citation now
Blundell, R. & Bond, S. (1998) Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87, 115–143. Available from: https://doi.org/10.1016/S0304‐4076(98)00009‐8.
Bond, S. (2002) Dynamic panel data models: a guide to micro data methods and practice. Portuguese Economic Journal, 1(2), 141–162. Available from: https://doi.org/10.1007/s10258‐002‐0009‐9.
Brighi, P., d'Addona, S. & Della Bina, A.C.F. (2013) The determinants of risk premia on the Italian stock market: empirical evidence on common factors in asset pricing models. Economic Notes, 42(2), 103–133. Available from: https://doi.org/10.1111/j.1468‐0300.2013.12004.x.
Campbell, J.Y., Polk, C. & Vuolteenaho, T. (2010) Growth or glamour? Fundamentals and systematic risk in stock returns. The Review of Financial Studies, 23(1), 305–344. Available from: https://doi.org/10.1093/rfs/hhp029.
Chiou, C.C. & Su, R.K. (2007) On the relation of systematic risk and accounting variables. Managerial Finance, 33(8), 517–533. Available from: https://doi.org/10.1108/03074350710760278.
- Clarke, C. (2022) The level, slope, and curve factor models for stocks. Journal of Financial Economics, 143(1), 159–187. Available from: https://doi.org/10.1016/j.jfineco.2021.08.008.
Paper not yet in RePEc: Add citation now
Cochrane, J.H. (2011) Presidential address: discount rates. The Journal of Finance, 66(4), 1047–1108. Available from: https://doi.org/10.1111/j.1540‐6261.2011.01671.x.
Fama, E.F. & French, K.R. (1993) Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56. Available from: https://doi.org/10.1016/0304‐405X(93)90023‐5.
Fama, E.F. & French, K.R. (2000) Forecasting profitability and earnings. The Journal of Business, 73(2), 161–175. Available from: https://doi.org/10.1086/209638.
Fama, E.F. & French, K.R. (2006) Profitability, investment, and average returns. Journal of Financial Economics, 82(3), 491–518. Available from: https://doi.org/10.1016/j.jfineco.2005.09.009.
- Fama, E.F. & French, K.R. (2015) A five‐factor asset pricing model. Journal of Financial Economics, 116(1), 1–22. Available from: https://doi.org/10.1016/j.jfineco.2014.10.010.
Paper not yet in RePEc: Add citation now
- Fernandez, P. (1993) El índice general de la Bolsa de Madrid y el IBEX 35. Technical Note from IESE research Department: 294‐004/FN‐306, 33 pp.
Paper not yet in RePEc: Add citation now
- González‐Sánchez, M., Nave, J. & Rubio, G. (2018) Macroeconomic determinants of stock market betas. Journal of Empirical Finance, 45, 26–44. Available from: https://doi.org/10.1016/j.jempfin.2017.10.003.
Paper not yet in RePEc: Add citation now
- González‐Sánchez, M., Nave, J. & Rubio, G. (2020) Effects of uncertainty and risk aversion on the exposure of investment‐style factor returns to real activity. Research in International Business and Finance, 53, 583–596. Available from: https://doi.org/10.1016/j.ribaf.2020.101236.
Paper not yet in RePEc: Add citation now
- González‐Urteaga, A. & Rubio, G. (2016) The cross‐sectional variation of the volatility risk premia. Journal of Financial Economics, 119, 353–370. Available from: https://doi.org/10.1016/j.jfineco.2015.09.009.
Paper not yet in RePEc: Add citation now
González‐Urteaga, A. & Rubio, G. (2021) The quality premium with leverage and liquidity constraints. International Review of Financial Analysis, 75, 108–121. Available from: https://doi.org/10.1016/j.irfa.2021.101699.
González‐Urteaga, A. & Rubio, G. (2022) Guarantee requirements by european central counterparties and international volatility spillovers. Research in International Business and Finance, 62, 101629. Available from: https://doi.org/10.1016/j.ribaf.2022.101629.
- González‐Urteaga, A., Nieto, B. & Rubio, G. (2020) On the behavior of the Spanish capital market. Working Paper CNMV: 80, 96 pp. Available from: https://www.cnmv.es/Portal/Publicaciones/Pub_Monografias.aspx#80 [Accessed 30th September 2023].
Paper not yet in RePEc: Add citation now
Hamada, R. (1972) The effect of the firm's capital structure on the systematic risk of common stocks. The Journal of Finance, 27, 435–452. Available from: https://doi.org/10.1111/j.1540‐6261.1972.tb00971.x.
Hamada, R.S. (1969) Portfolio analysis, market equilibrium and corporation finance. The Journal of Finance, 24, 13–31. Available from: https://doi.org/10.1111/j.1540‐6261.1969.tb00339.x.
- Jensen, T.I. (2022) Subjective risk and return. Institut for Finansiering, CBS. Working Papers/Department of Finance. Copenhagen Business School, November 8, 2022. Available from: https://ssrn.com/abstract=4276760 or https://doi.org/10.2139/ssrn.4276760.
Paper not yet in RePEc: Add citation now
Leary, M.T. & Roberts, M.R. (2014) Do peer firms affect corporate financial policy? The Journal of Finance, 69(1), 139–178. Available from: https://doi.org/10.1111/jofi.12094.
Lee, C.‐H. & Hooy, C.‐W. (2012) Determinants of systematic financial risk exposures of airlines in North America, Europe, and Asia. Journal of Air Transport Management, 24, 31–35. Available from: https://doi.org/10.1016/j.jairtraman.2012.06.003.
León, A., Nave, J. & Rubio, G. (2007) The relationship between risk and expected return in Europe. Journal of Banking and Finance, 31(2), 495–512. Available from: https://doi.org/10.1016/j.jbankfin.2006.07.011.
- Li, M. & Dempsey, M. (2018) The Fama and French three‐factor model in developing markets: evidence from the Chinese markets. Investment Management and Financial Innovations, 15(1), 46–57. Available from: https://doi.org/10.21511/imfi.15(1).2018.06.
Paper not yet in RePEc: Add citation now
- Lintner, J. (1965) The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47, 13–37. Available from: https://doi.org/10.2307/1926735.
Paper not yet in RePEc: Add citation now
- Markowitz, H.M. (1952) Portfolio selection. The Journal of Finance, 7(1), 77–91. Available from: https://doi.org/10.2307/2975974.
Paper not yet in RePEc: Add citation now
- Menéndez‐Plans, C., Orgaz, N. & Prior, D. (2012) ¿Existe relación entre la información contable y el riesgo sistemático de las empresas? Estimación con datos de panel. Academia Revista Latinoamericana de Administración, 49, 1–16.
Paper not yet in RePEc: Add citation now
- Mossin, J. (1966) Equilibrium in a capital asset market. Econometrica, 34(4), 768–783. Available from: https://doi.org/10.2307/1910098.
Paper not yet in RePEc: Add citation now
Nieto, B. & Rubio, G. (2022) Effects of the COVID‐19 crisis on risk factors and option‐implied expected market risk premia: an international perspective. Journal of Risk and Financial Management, 15, 13. Available from: https://doi.org/10.3390/jrfm15010013.
Sharpe, W. (1964) Capital asset prices: a theory of market equilibrium under conditions of risk. The Journal of Finance, 19, 425–442. Available from: https://doi.org/10.1111/j.1540‐6261.1964.tb02865.x.
- Soebhag, A., van Vliet, B. & Verwijmeren, P. (2022) Non‐standard errors in asset pricing: mind your sorts. Mimeo. Available from: https://ssrn.com/abstract=4136672 or https://doi.org/10.2139/ssrn.4136672.
Paper not yet in RePEc: Add citation now
- Su, Z. & Taltavull, P. (2021) Applying the Fama and French three‐factor model to analyze risk/reward in the Spanish REITs: an ARDL approach. Journal of European Real Estate Research, 14, 189–208. Available from: https://doi.org/10.1108/JERER‐11‐2019‐0043.
Paper not yet in RePEc: Add citation now
Trinh, V.Q., Karki, D. & Ghimire, B. (2016) Systematic risk determinants of stock returns after the financial crisis: evidence from the United Kingdom. Journal of Finance and Investment Analysis, 5(1), 1–28.
- Vallejos, K. (2008) El efecto tamaño en la bolsa de valores de Madrid. Documento de Trabajo 0803 del Doctorado en Finanzas de Empresa de la Universidad Autónoma y la Universidad Complutense de Madrid.
Paper not yet in RePEc: Add citation now
Windmeijer, F. (2005) A finite sample correction for the variance of linear efficient two‐step GMM estimators. Journal of Econometrics, 126, 25–51. Available from: https://doi.org/10.1016/j.jeconom.2004.02.005.
- Wooldridge, J. (2002) Econometric analysis of cross‐section and panel data. London, Cambridge, MA: Massachusetts Institute of Technology Press.
Paper not yet in RePEc: Add citation now