Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section-Reference-Cited by-同舟云学术

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Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section

Published:2019-06 Issue: Volume:44 Page:91-118
ISSN:1386-4181
Container-title:Journal of Financial Markets
language:en
Short-container-title:Journal of Financial Markets

Author:

Hollstein Fabian,Prokopczuk Marcel,Wese Simen Chardin

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference48 articles.

1. Illiquidity and stock returns: cross-section and time-series effects;Amihud;J. Financ. Mark.,2002

2. Realized beta: persistence and predictability;Andersen,2006

3. The cross-section of volatility and expected returns;Ang;J. Financ.,2006

4. Testing conditional factor models;Ang;J. Financ. Econ.,2012

5. The relationship between return and market value of common stocks;Banz;J. Financ. Econ.,1981

Cited by 31 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns;International Review of Financial Analysis;2024-10

2. Measuring tail risk;Journal of Econometrics;2024-04

3. Can machine learning methods predict beta?;Applied Economics;2024-03-18

4. Estimating Stock Market Betas via Machine Learning;Journal of Financial and Quantitative Analysis;2024-02-08

5. Simply Better Market Betas around the Globe;SSRN Electronic Journal;2024

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