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Understanding industry betas
16 references·1 citing·45 second hopsampled
Understanding industry betas (2013)Understanding industry betasStock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…The conditional CAPM does not explain asset-pricing anomalies☆ (2006)The conditional CAPM does not…There is a risk-return trade-off after all (2005)There is a risk-return trade-…Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Predicting volatility: gettin…Is value riskier than growth? (2005)Is value riskier than growth?Finance and the Business Cycle: International, Inter‐Industry Evidence (2005)Finance and the Business Cycl…Corporate Investment and Asset Price Dynamics: Implications for the Cross‐section of Returns (2004)Corporate Investment and Asse…Equilibrium Cross Section of Returns (2003)Equilibrium Cross Section of …Alternative models for stock price dynamics (2003)Alternative models for stock …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…Industry costs of equity (1997)Industry costs of equityThe Risk and Predictability of International Equity Returns (1993)The Risk and Predictability o…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Energy commodity uncertainties and the systematic risk of US industries (2019)Energy commodity uncertaintie…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Climate policy uncertainty and world renewable energy index volatility forecasting (2022)Geopolitical risk and dynamic connectedness between commodity markets (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)New Eurocoin: Tracking Economic Growth in Real Time (2010)Now-Casting and the Real-Time Data Flow (2013)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An Empirical Investigation of Continuous‐Time Equity Return Models (2002)The Relative Contribution of Jumps to Total Price Variance (2005)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Numerical solution of stochastic differential equations (2016)A Theory of the Term Structure of Interest Rates (1985)Predictable Risk and Returns in Emerging Markets (1994)Market Integration and Contagion (2005)Common Risk Factors in Currency Markets (2011)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do Industries Explain Momentum? (1999)The Stock Market Valuation of Research and Development Expenditures (2001)PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital (2004)An Intertemporal Capital Asset Pricing Model (1973)Organization Capital and the Cross‐Section of Expected Returns (2013)Dissecting Characteristics Nonparametrically (2019)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1997Industry costs of equity5,793 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1998Optimal Investment, Growth Options, and Security Returns1,477 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 1993The Risk and Predictability of International Equity Returns1,065 cited
  • 2005There is a risk-return trade-off after all1,019 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2006The conditional CAPM does not explain asset-pricing anomalies☆931 cited
  • 2003Alternative models for stock price dynamics893 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 2005Predicting volatility: getting the most out of return data sampled at different frequencies813 cited
  • 2003Equilibrium Cross Section of Returns785 cited
  • 2004Corporate Investment and Asset Price Dynamics: Implications for the Cross‐section of Returns778 cited
  • 2005Is value riskier than growth?690 cited
  • 2005Finance and the Business Cycle: International, Inter‐Industry Evidence

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  • 2019Energy commodity uncertainties and the systematic risk of US industries63 cited