Productivity Risk and Industry Momentum-Reference-Cited by-同舟云学术

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Productivity Risk and Industry Momentum

Published:2018-03-06 Issue:3 Volume:47 Page:739-774
ISSN:0046-3892
Container-title:Financial Management
language:en
Short-container-title:Financial Management

Author:

Misirli Efdal Ulas

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/fima.12206/fullpdf

Reference76 articles.

1. Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk;Adrian;Journal of Finance,2008

2. The Cross-Section of Volatility and Expected Returns;Ang;Journal of Finance,2006

3. Macroeconomic Risks and Characteristic Based Factor Models;Aretz;Journal of Banking and Finance,2010

4. Stock Market Participation, Intertemporal Substitution and Risk Aversion;Attanasio;American Economic Review: Papers and Proceedings,2003

5. Bai , H. K. Hou H. Kung L. Zhang 2016 The CAPM Strikes Back? An Investment Model with Disasters

Cited by 4 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. The long-run risk premium in the intertemporal CAPM: International evidence;Journal of International Financial Markets, Institutions and Money;2023-12

2. Aggregate volatility risk and momentum returns;European Financial Management;2023-11-03

3. Realised volatility and industry momentum returns;Humanities and Social Sciences Communications;2022-08-23

4. The Long-Run Risk Premium in the ICAPM: International Evidence;SSRN Electronic Journal;2022

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