Variance Premium, Downside Risk, and Expected Stock Returns
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Publisher
Elsevier BV
Reference59 articles.
1. Arbitrage Risk and the Book-to-Market Anomaly;A Ali;Journal of Financial Economics,2003
2. Illiquidity and Stock Returns: Cross-section and Time-series Effects;Y Amihud;Journal of Financial Markets,2002
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4. Downside Risk
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2. Application of semi-deviation as a proxy for the expected return estimation in the Croatian equity market;Croatian Review of Economic, Business and Social Statistics;2019-05-01
3. Good Volatility, Bad Volatility, and the Cross Section of Stock Returns;Journal of Financial and Quantitative Analysis;2019-01-30
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