Common risk factors in the returns on stocks and bonds

From MaRDI portal
Revision as of 10:40, 9 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:5455561

DOI10.1016/0304-405X(93)90023-5zbMath1131.91335OpenAlexW1995834279WikidataQ55894695 ScholiaQ55894695MaRDI QIDQ5455561

Eugene Fama, Kenneth R. French

Publication date: 3 April 2008

Published in: Journal of Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-405x(93)90023-5




Related Items (only showing first 100 items - show all)

Stock return predictability: A factor-augmented predictive regression system with shrinkage methodSelecting the regularization parameters in high-dimensional panel data models: Consistency and efficiencyGeneralization bounds for regularized portfolio selection with market side informationEstimating Number of Factors by Adjusted Eigenvalues ThresholdingBayesian Estimation and Optimization for Learning Sequential Regularized PortfoliosOptimal characteristic portfoliosExchange Rate Sensitivity of Firm Value: Evidence from Nonfinancial Firms Listed on Borsa IstanbulTIME VARYING SENSITIVITIES ON A GRID ARCHITECTUREESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORMWhen do systematic strategies decay?Bayesian analysis of the factor model with finance applicationsEstimation risk and the implicit value of index-trackingConstructing long-short stock portfolio with a new listwise learn-to-rank algorithmPerformance measurement for option portfolios in a stochastic volatility framework‘Too central to fail’ firms in bi-layered financial networks: linkages in the US corporate bond and stock marketsDIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODELEstimating the higher-order co-moment with non-Gaussian components and its application in portfolio selectionA generalized heterogeneous autoregressive model using market informationSecond order expansions of estimators in nonparametric moment conditions models with weakly dependent dataMisspecified semiparametric model selection with weakly dependent observationsRobust high-dimensional alpha test for conditional time-varying factor modelsHigh-dimensional latent panel quantile regression with an application to asset pricingPairs trading with wavelet transformThe stock performance of green bond issuers during COVID-19 pandemic: the case of ChinaA new global algorithm for factor-risk-constrained mean-variance portfolio selectionHigh-Dimensional Alpha Test of the Linear Factor Pricing Models With Heavy-Tailed DistributionsConsistent Bayesian information criterion based on a mixture prior for possibly high‐dimensional multivariate linear regression modelsUniform predictive inference for factor models with instrumental and idiosyncratic betasTaking stock of long-horizon predictability tests: are factor returns predictable?Business-cycle consumption risk and asset pricesScore-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performanceA bi‐level programming framework for identifying optimal parameters in portfolio selectionCORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKETLead-lag detection and network clustering for multivariate time series with an application to the us equity marketMachine learning techniques for cross-sectional equity returns' predictionAnalysts' underreaction and momentum strategiesIndividualized Group LearningTesting and signal identification for two-sample high-dimensional covariances via multi-level thresholdingTail index estimation in the presence of covariates: stock returns' tail risk dynamicsBeyond rocket science: a factor model for convertible bond returnsPre-selection in cointegration-based pairs tradingUnnamed ItemIdentification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bondsTail inverse regression: dimension reduction for prediction of extremesUnnamed ItemUnnamed ItemiFusion: Individualized Fusion LearningPresenting a Model for Portfolio Risk Premium Assessment: Evidence from the Tehran Stock ExchangeEvidence for hedge fund predictability from a multivariate Student'stfull-factor GARCH modelNon-parametric estimation of data dimensionality prior to data compression: the case of the human development indexA Generalized Black–Litterman ModelAn Ex Post Assessment of Investor Response to CatastrophesExchange options under clustered jump dynamicsStock-specific sentiment and return predictabilityAnalysts’ Dividend Forecasts, Portfolio Selection, and Market Risk PremiaActive momentum trading versus passive ‘ naive diversification’Sector categorization using gradient boosted trees trained on fundamental firm dataAn Approach to Fair Valuation of Insurance Liabilities Using the Firm’s Cost of CapitalCapital Allocation Survey with CommentaryVast Portfolio Selection With Gross-Exposure ConstraintsDiagonally Dominant Principal Component AnalysisA misspecification test for the higher order co-moments of the factor modelUnnamed ItemShort-horizon return predictability and oil pricesAsset pricing with disequilibrium price adjustment: theory and empirical evidenceThe augmented Black–Litterman model: a ranking-free approach to factor-based portfolio construction and beyondThe law of one accounting variableThe momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock marketEconomic tracking portfoliosOUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTSDoes a lot help a lot? Forecasting stock returns with pooling strategies in a data‐rich environmentTesting Stability of Correlations Between Liquidity Proxies Derived from Intraday Data on the Warsaw Stock ExchangeEmbracing the Blessing of Dimensionality in Factor ModelsVolatility information difference between CDS, options, and the cross section of options returnsNeural network-based automatic factor constructionPrincipal Component Analysis of High-Frequency DataFactor Multivariate Stochastic Volatility via Wishart ProcessesRisk parity portfolio optimization under a Markov regime-switching frameworkA cluster driven log-volatility factor model: a deepening on the source of the volatility clusteringLeveraging a call-put ratio as a trading signalWeighing asset pricing factors: a least squares model averaging approachBuy rough, sell smoothVIX futures term structure and the expectations hypothesisProbability weighting and default risk: a possible explanation for distressed stock puzzlesAccounting Beta in the Extended Version of CAPMSmart Indexing Under Regime-Switching Economic StatesA computational definition of financial randomnessInvesting in the size factorMEAN–VARIANCE PORTFOLIO MANAGEMENT WITH FUNCTIONAL OPTIMIZATIONPRICING KERNEL ESTIMATION: A LOCAL ESTIMATING EQUATION APPROACHModel-based bootstrap for detection of regional quantile treatment effectsStructural breaks in panel data: Large number of panels and short length time seriesRight tail information and asset pricingAn alternative nonparametric tail risk measureMarket Reaction to iPhone RumorsAsymptotic variance approximations for invariant estimators in uncertain asset-pricing modelsPage's sequential procedure for change-point detection in time series regressionMARKET TIMING IN PARAMETRIC PORTFOLIO POLICIESEigendecomposition of the Mean-Variance Portfolio Optimization ModelRobust portfolio selection with a combined WCVaR and factor model







This page was built for publication: Common risk factors in the returns on stocks and bonds