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Zhongjin Lu2018

Article2018

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Zhongjin Lu · Scott Murray

69 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 2002Illiquidity and stock returns: cross-section and time-series effects 2014A five-factor asset pricing model 1997Industry costs of equity 1995The Limits of Arbitrage

Cited by

2021A Model of Two Days: Discrete News and Asset Prices 2019Global downside risk and equity returns 2019Symmetric and Asymmetric Market Betas and Downside Risk 2021Equity tail risk and currency risk premiums 2022Multivariate crash risk 2021Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal

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Details

Year2018

Typearticle

Published2018-10-30

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations69

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2018.09.006

openalex_workW4232931407

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