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LIQUIDITY AND VALUATION IN EAST AFRICAN SECURITIES MARKETS

Author: hearn, bruce

Source: South African Journal of Economics, Volume 77, Number 4, December 2009 , pp. 553-576(24)

Publisher: Blackwell Publishing

The Value Premium and Time-Varying Volatility

Authors: Li, Xiafei; Brooks, Chris; Miffre, Joëlle

Source: Journal of Business Finance & Accounting, Volume 36, Numbers 9-10, November/December 2009 , pp. 1252-1272(21)

Publisher: Blackwell Publishing

Model Comparison Using the Hansen-Jagannathan Distance

Authors: Kan, Raymond; Robotti, Cesare

Source: Review of Financial Studies, Volume 22, Number 9, 2 September 2009 , pp. 3449-3490(42)

Publisher: Oxford University Press

HEDGING BY SEQUENTIAL REGRESSIONS REVISITED

Authors: Černý, Aleš; Kallsen, Jan

Source: Mathematical Finance, Volume 19, Number 4, October 2009 , pp. 591-617(27)

Publisher: Blackwell Publishing

Drivers of expected returns in Istanbul stock exchange: Fama-French factors and coskewness

Authors: Ulas Mısırlı, E.; Emre Alper, C.

Source: Applied Economics, Volume 41, Number 20, September 2009 , pp. 2619-2633(15)

Publisher: Routledge, part of the Taylor & Francis Group

Performance measures and incentives: loading negative coskewness to outperform the CAPM

Author: Kostakis, Alexandros

Source: The European Journal of Finance, Volume 15, Numbers 5-6, July 2009 , pp. 463-486(24)

Publisher: Routledge, part of the Taylor & Francis Group

A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk

Author: Glabadanidis, Paskalis

Source: Journal of Financial Econometrics, Volume 7, Number 3, 10 March 2009 , pp. 247-264(18)

Publisher: Oxford University Press

Capital Asset Pricing Model and the Risk Appetite Index: Theoretical Differences, Empirical Similarities and Implementation Problems

Authors: Pericoli, Marcello; Sbracia, Massimo

Source: International Finance, Volume 12, Number 2, Summer 2009 , pp. 123-150(28)

Publisher: Blackwell Publishing

The effects of macroeconomic factors on stock returns: Istanbul Stock Market

Authors: Rjoub, Husam; Türsoy, Turgut; Günsel, Nil

Source: Studies in Economics and Finance, Volume 26, Number 1, 2009 , pp. 36-45(10)

Publisher: Emerald Group Publishing Limited

Industry Cost of Equity Capital: UK Evidence

Authors: Gregory, Alan; Michou, Maria

Source: Journal of Business Finance & Accounting, Volume 36, Numbers 5-6, June/July 2009 , pp. 679-704(26)

Publisher: Blackwell Publishing

Can An `Estimation Factor' Help Explain Cross-Sectional Returns?

Author: Lundtofte, Frederik

Source: Journal of Business Finance & Accounting, Volume 36, Numbers 5-6, June/July 2009 , pp. 705-724(20)

Publisher: Blackwell Publishing

Empirical examination of REITs in Turkey: an emerging market perspective

Authors: Aktan, Bora; Ozturk, Mustafa

Source: Journal of Property Investment and Finance, Volume 27, Number 4, 2009 , pp. 373-403(31)

Publisher: Emerald Group Publishing Limited

PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES

Authors: Maccheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo; Taboga, Marco

Source: Mathematical Finance, Volume 19, Number 3, July 2009 , pp. 487-521(35)

Publisher: Blackwell Publishing

The modelling of stock returns conditionally to the classes of volatility on the French market

Author: Ellouz, Siwar

Source: International Journal of Managerial and Financial Accounting, Volume 1, Number 3, 11 May 2009 , pp. 248-267(20)

Publisher: Inderscience Publishers

Integrating volatility factors in the analysis of the hedge fund alpha puzzle

Authors: Racicot, François-Éric; Théoret, Raymond

Source: Journal of Asset Management, Volume 10, Number 1, April 2009 , pp. 37-62(26)

Publisher: Palgrave Macmillan

Size, BM, and momentum effects and the robustness of the Fama-French three-factor model: Evidence from New Zealand

Authors: Nartea, Gilbert V.; Ward, Bert D.; Djajadikerta, Hadrian G.

Source: International Journal of Managerial Finance, Volume 5, Number 2, 2009 , pp. 179-200(22)

Publisher: Emerald Group Publishing Limited

Risky asset pricing based on safety first fund management

Authors: Ding, Yuanyao; Zhang, Bo

Source: Quantitative Finance, Volume 9, Number 3, April 2009 , pp. 353-361(9)

Publisher: Routledge, part of the Taylor & Francis Group

On tests of the conditional relationship between beta and returns

Author: Cooper, Ian

Source: Applied Financial Economics, Volume 19, Number 6, March 2009 , pp. 427-432(6)

Publisher: Routledge, part of the Taylor & Francis Group

A two-phase approach to estimating time-varying parameters in the capital asset pricing model

Authors: Su, Yih; Hwang, Jing-Shiang

Source: Journal of Applied Statistics, Volume 36, Number 1, January 2009 , pp. 79-89(11)

Publisher: Routledge, part of the Taylor & Francis Group

Sorting, Firm Characteristics, and Time-varying Risk: An Econometric Analysis

Authors: Fan, Xinting; Liu, Ming

Source: Journal of Financial Econometrics, Volume 6, Number 1, 28 November 2008 , pp. 49-86(38)

Publisher: Oxford University Press