Enhancing betting against beta with stochastic dominance-Reference-Cited by-同舟云学术

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Enhancing betting against beta with stochastic dominance

Published:2024-03 Issue: Volume:76 Page:101465
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Kolokolova Olga^ORCID,Xu Xia

Publisher

Elsevier BV

Reference51 articles.

1. The cross-section of volatility and expected returns;Ang;J. Finance,2006

2. The CAPM strikes back? An equilibrium model with disasters;Bai;J. Financ. Econ.,2019

3. Benchmarks as limits to arbitrage: Understanding the low-volatility anomaly;Baker;Financ. Anal. J.,2011

4. A lottery-demand-based explanation of the beta anomaly;Bali;J. Financ. Quant. Anal.,2017

5. Do limits to arbitrage explain the benefits of volatility-managed portfolios?;Barroso;J. Financ. Econ.,2021

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