Search Results

Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes,
David Blitz and Pim Vliet, from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam (2008)
Keywords: GTAA, global asset allocation, momentum, value effect

Asset Co-movements: Features and Challenges,
Nikolay Gospodinov, from Federal Reserve Bank of Atlanta (2017)
Keywords: cross-asset; within-asset and international asset co-movements; rolling correlation; time-variability; persistence; higher moments; risk factors; sampling frequency

Barriers and solutions to cross-border asset recovery,
Ari Wibowo, in Journal of Money Laundering Control (2022)
Keywords: Cross-border, Asset recovery

Dichotomous Asset Pricing Model,
Liang Zou, in Annals of Economics and Finance (2005)
Keywords: Mean-variance, Gain-loss, Upper-market beta, Lower-market beta, Cross-asset derivative security, Dichotomous asset pricing

On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities,
M. Karanasos and S. Yfanti, in Journal of International Financial Markets, Institutions and Money (2021)
Keywords: Commodities; Cross-asset dynamic equicorrelations; Economic policy uncertainty; Global equities; Macro-financial linkages; REITs;

Empirical Cross-Sectional Asset Pricing,
Stefan Nagel, from C.E.P.R. Discussion Papers (2012)
Keywords: Cross-section of stock returns; Empirical asset pricing

Cross-Asset Climate Betas,
Jean-Charles Bertrand, Guillaume Coqueret, Nicholas Mcloughlin and Stéphane Mesnard, from HAL (2025)

Asset tangibility, industry representation and the cross section of equity returns,
Paul Docherty, Howard Chan and Steve Easton, in Australian Journal of Management (2011)
Keywords: asset pricing; cross-section; industry; tangibility of assets

Asset Returns and Economic Uncertainty: A Cross-Country Analysis,
Javed Bin Kamal, Akhand Hossain, Omar Al Farooque and Mark Wohar, in American Business Review (2024)
Keywords: Asset Returns; Economic Uncertainty; Cross-Country Analysis

Empirical Cross-Sectional Asset Pricing,
Stefan Nagel, in Annual Review of Financial Economics (2013)
Keywords: asset pricing, equity markets, cross section of stock returns

Can Fundamentals Explain Cross-Country Correlations of Asset Returns,
Fernando Restoy Lozano and Rosa Rodríguez, from C.E.P.R. Discussion Papers (1998)
Keywords: Asset Pricing Models; cross-country correlations

Predictability and the cross-section of expected returns: A challenge for asset pricing models,
Christian Schlag, Michael Semenischev and Julian Thimme, from Leibniz Institute for Financial Research SAFE (2020)
Keywords: asset pricing, cross-section of stock returns, predictability

Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models,
Christian Schlag, Michael Semenischev and Julian Thimme, in Management Science (2021)
Keywords: asset pricing, cross-section of stock returns, predictability

Can Fundamentals Explain Cross-Country Correlations of Asset Returns?,
Fernando Restoy and Rosa Rodríguez, in Review of World Economics (Weltwirtschaftliches Archiv) (2006)
Keywords: Asset pricing models, cross-country correlations,

GMM weighting matrices in cross-sectional asset pricing tests,
Nora Laurinaityte, Christoph Meinerding, Christian Schlag and Julian Thimme, in Journal of Banking & Finance (2024)
Keywords: Asset pricing; Cross-section of expected returns;

Can fundamentals explain cross-country correlations of asset returns?,
Fernando Restoy and Rosa Rodríguez, from Banco de España (2005)
Keywords: Asset pricing models, cross-country correlations

The relationship between asset growth and the cross-section of stock returns,
Philip Gray and Jessica Johnson, in Journal of Banking & Finance (2011)
Keywords: Asset growth Risk factors Mispricing Cross-sectional returns Asset pricing

Asset securitization, cross holdings, and systemic risk in banking,
Shuhua Xiao, Shushang Zhu and Ying Wu, in Journal of Financial Stability (2023)
Keywords: Asset securitization; Cross holdings; Systemic risk; Banking system;

Cross-sectional asset pricing with heterogeneous preferences and beliefs,
Simon Hansen, in Journal of Economic Dynamics and Control (2015)
Keywords: Asset pricing; Heterogeneous preferences; Heterogeneous beliefs; Cross-section;

Cross‐Asset Speculation in Stock Markets,
Dan Bernhardt and Bart Taub, in Journal of Finance (2008)

Cross-Border Asset Pledgeability for Enhanced Financial Stability,
Gongpil Choi, in East Asian Economic Review (2020)
Keywords: Cross-Border Collateral; Asset Pledgeability; Safe Asset Shortage; Financial Stability; PVAR (Panel Vector Autoregression); Haircut

Cross-border acquisitions by Indian multinationals: Asset exploitation or asset augmentation?,
Peter J. Buckley, Surender Munjal, Peter Enderwick and Nicolas Forsans, in International Business Review (2016)
Keywords: Firm specific assets; Asset augmentation; Cross-border acquisitions; India; Multinationals from emerging countries; Asset seeking foreign direct investment;

Time-Series and Cross-Sectional Tests of Asset Pricing Models,
Kyung-Jin Choi, Dongcheol Kim and Soon-Ho Kim, from Springer (2022)
Keywords: Asset pricing models, Cross-sectional tests, Time-series tests

Empirical cross-sectional asset pricing: a survey,
Amit Goyal, in Financial Markets and Portfolio Management (2012)
Keywords: Empirical asset pricing, Factor models, Time-series regressions, Cross-sectional regressions, Anomalies, G12, G14,

Linkages Among Asset Markets in the United States: Tests in a Bivariate GARCH Framework,
Parha Deb and Salim Darbar, from International Monetary Fund (1999)
Keywords: WP; Logistic Exponential GARCH; conditional correlation; Granger causality; volatility spillover; GARCH model; cross-asset correlation; market mechanism; spillover coefficient; asset volatility; covariance matrix; Stock markets; Securities markets; Small taxpayer office; Currency markets; Spillovers; Global

Asset liquidity and stock returns,
Samuel Yau Man Ze-To, in Advances in accounting (2016)
Keywords: Asset liquidity; Cross sectional return; Asset productivity;

Cross-Asset Holdings and the Interbank Lending Market,
Olessia Caillé and Louis Raffestin, in Finance (2021)
Keywords: wholesale funding, short-term unsecured lending, fire sales, systemic risk

Cross-Asset Holdings and the Interbank Lending Market,
Olessia Caillé and Louis Raffestin, from HAL (2021)

Sustainable and responsible investment dynamic cross-asset portfolio,
Robiyanto Robiyanto, Andrian Dolfriandra Huruta, Budi Frensidy and Ashalia Fitri Yuliana, in Cogent Business & Management (2023)

Speculator activity and the cross-asset predictability of FX returns,
Anton Hasselgren, Jarkko Peltomäki and Michael Graham, in International Review of Financial Analysis (2020)
Keywords: Speculation; Trading strategies; Predictability; Information; Foreign exchange;

Cross-asset holdings and the resiliency of wholesale funding,
Olessia Caillé and Louis Raffestin, from HAL (2018)

Evidence of cross-asset contagion in U.S. markets,
Guang-Di Chang and Po-Ching Cheng, in Economic Modelling (2016)
Keywords: Contagion; REIT; Granger causality test; Diversification; Subprime crisis; European sovereign debt crisis;

Cross-Asset Information Synergy in Mutual Fund Families,
Jun Kyung Auh and Jennie Bai, from National Bureau of Economic Research, Inc (2020)

Public News Arrival and Cross‐Asset Correlation Breakdown,
Kin‐Yip Ho, Wai‐Man Liu and Jing Yu, in International Review of Finance (2018)

Cross‐Asset Tandem Trading and Extraordinary Volatility,
Robert Garrison, Pankaj K. Jain and Mark Paddrik, in Journal of Futures Markets (2024)

Cross-asset holdings and the resiliency of wholesale funding,
Olessia Caillé and Louis Raffestin, from Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2018)

Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns,
Joachim Grammig and Andreas Schrimpf, in Review of Financial Economics (2009)
Keywords: Consumption-based asset pricing Cross-section of stock returns Reference level

Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns,
Joachim Grammig and Andreas Schrimpf, from University of Cologne, Centre for Financial Research (CFR) (2009)
Keywords: Consumption-Based Asset Pricing, Cross-Section of Stock Returns, Reference Level

Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns,
Andreas Schrimpf and Joachim Grammig, from ZEW - Leibniz Centre for European Economic Research (2007)
Keywords: Consumption-Based Asset Pricing, Cross-Section of Stock Returns, Reference Level

Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns,
Joachim Grammig and Andreas Schrimpf, from ZEW - Leibniz Centre for European Economic Research (2006)
Keywords: Consumption-based Asset Pricing, Cross-Section of Stock Returns, Reference Level

Emerging market multinationals’ pursuit of strategic assets through cross-border acquisitions,
Yuhuilin Chen, Saileshsingh Gunessee and Xiuping Hua, in Research in International Business and Finance (2022)
Keywords: Strategic assets; Technologies; Knowledge transfer; Emerging market multinationals; Cross-border acquisitions;

Cross-border asset holdings and comovements in sovereign bond markets,
Hossein Asgharian, Lu Liu and Marcus Larsson, in Journal of International Money and Finance (2018)
Keywords: Yield-curve factors; Cross-border asset holding; Spatial dependence; Euro bond markets; Sovereign credit default swap;

Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets,
Hossein Asgharian, Lu Liu and Marcus Larsson, from Lund University, Department of Economics (2015)
Keywords: yield-curve factors; cross-border asset holding; spatial dependence; EMU; sovereign credit default swap

Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns,
Kris Jacobs and Kevin Q. Wang, from CIRANO (2002)
Keywords: cross-sectional asset pricing; consumption-based model; idiosyncratic consumption risk; incomplete markets; measurement error, évaluation d'actifs transversale, modèle basé sur la consommation, risque de consommation idiosyncratique, marchés incomplets, erreur de mesure

Economic policy uncertainty, cross-border capital inflows and credit asset allocation risk,
Bojing Liu, in Finance Research Letters (2024)
Keywords: Economic policy uncertainty; Cross-border capital inflows; Credit asset allocation risk;

The asset pricing implications of global oil price uncertainty: Evidence from the cross-section of Chinese stock returns,
Teng Zhang, Zhiwei Xu and Jiaqi Li, in Energy (2023)
Keywords: Oil price uncertainty; Systematic risk; Intertemporal capital asset pricing model; Cross-sectional pricing; Energy finance;

Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility,
Santiago Forte and Lidija Lovreta, in Journal of Corporate Finance (2023)
Keywords: Credit default swaps; Capital structure; Asset volatility; Equity volatility; Leverage effect; Cross-sectional predictability;

Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach,
Soohun Kim and Georgios Skoulakis, in Journal of Econometrics (2018)
Keywords: Large cross section; N-consistent ex-post risk premia estimator; Asset pricing tests;

Towards comparable cross-sector risk analyses: A re-examination of the Risk Analysis and Management for Critical Asset Protection (RAMCAP) methodology,
Richard White, Aaron Burkhart, Randy George, Terrance Boult and Edward Chow, in International Journal of Critical Infrastructure Protection (2016)
Keywords: Lifeline infrastructure; Risk analysis; Cross-sector analysis; Risk Analysis and Management for Critical Asset Protection (RAMCAP) Methodology;

Asset Pricing of Financial Insitutions: The Cross-Section of Expected Stock Returns in the Property/Liability Insurance Industry,
Semir Ben Ammar, Martin Eling and Andreas Milidonis, from University of St. Gallen, School of Finance (2015)
Keywords: Asset Pricing; Insurance Stocks; Multifactor Models; Anomalies; Cross-Section; Risk Factors

Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption,
L. Campi and A. Sbuelz, from Tilburg University, Center for Economic Research (2005)
Keywords: Cross-Asset Trading of Credit Risk; Constant-Elasticity-of-Variance (CEV) Diffusion

Cross-Sectional Asset Pricing Tests,
Ravi Jagannathan, Ernst Schaumburg and Guofu Zhou, in Annual Review of Financial Economics (2010)
Keywords: factor models, stochastic discount factor, asset pricing tests

A skeptical appraisal of asset pricing tests,
Jonathan Lewellen, Stefan Nagel and Jay Shanken, in Journal of Financial Economics (2010)
Keywords: Asset pricing Cross-sectional tests Power

Pricing within and across asset classes,
Victoria Dobrynskaya, in Finance Research Letters (2018)
Keywords: Momentum; Value; Asset classes; Cross-sectional asset pricing;

Cross-market index with Factor-DCC,
Julien Chevallier and Sofiane Aboura, from HAL (2014)
Keywords: Cross-market index,Factor-DCC,Asset management

The Cross-section of Expected Stock Returns,
Jonathan Lewellen, in Critical Finance Review (2015)
Keywords: Cross-sectional Asset Pricing, CAPM, Return Forecasting

Cross-market index with Factor-DCC,
Sofiane Aboura and Julien Chevallier, in Economic Modelling (2014)
Keywords: Cross-market index; Factor-DCC; Asset management;

Do accounting information and market environment matter for cross‐asset predictability?,
Narongdech Thakerngkiat, Hung T. Nguyen, Nhut H. Nguyen and Nuttawat Visaltanachoti, in Accounting and Finance (2021)

Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach,
Massimo Guidolin, Erwin Hansen and Manuela Pedio, in Journal of Financial Markets (2019)
Keywords: Contagion; Bond yield; Financial crisis; Interdependence; Bayesian estimation;

Cross-asset return predictability: Carry trades, stocks and commodities,
Helen Lu and Ben Jacobsen, in Journal of International Money and Finance (2016)
Keywords: Carry trade; Gradual information diffusion; Return predictability; Safe-haven currencies; Time-varying risk premium; Vector auto regression;

An experimental analysis on cross-asset arbitrage opportunity and the law of one price,
Jieyi Duan and Nobuyuki Hanaki, from Institute of Social and Economic Research, Osaka University

A large-scale approach for evaluating asset pricing models,
Laurent Barras, in Journal of Financial Economics (2019)
Keywords: Asset pricing; Model comparison; Large cross-section;

Extreme downside risk in the cross-section of asset returns,
Lerby M. Ergun, in International Review of Financial Analysis (2023)
Keywords: Asset pricing; Econometric and statistical methods;

Equilibrium asset pricing and the cross section of expected returns,
Joel M. Vanden, in Annals of Finance (2021)
Keywords: Asset pricing, Equilibrium, Characteristics, Beta

Seeking strategic assets within cross-border acquisition waves: a study of Indian firms,
Faisal Mohammad Ahsan, Mohammad Fuad and Ashutosh Kumar Sinha, in Journal of International Management (2021)
Keywords: Acquisition motives; Business groups; Cross-border acquisition waves; Emerging economies; Foreign institutional investor shareholding; Strategic asset-seeking;

Do industries matter in explaining stock returns and asset-pricing anomalies?,
Pin-Huang Chou, Po-Hsin Ho and Kuan-Cheng Ko, in Journal of Banking & Finance (2012)
Keywords: Industry; Cross-section; Asset pricing model;

Downside risks and the cross-section of asset returns,
Adam Farago and Roméo Tédongap, in Journal of Financial Economics (2018)
Keywords: Generalized disappointment aversion; Downside risks; Cross-section;

M&A by Chinese POEs in Developed Countries - Acquiring and Bundling Strategic Assets,
Juan Wu and Dirk Morschett, from Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland (2020)
Keywords: Cross-border M&A; Strategic Assets; Asset Bundling; Chinese MNCs; EMNC

Open Source Cross-Sectional Asset Pricing,
Andrew Y. Chen and Tom Zimmermann, in Critical Finance Review (2022)
Keywords: Stock market anomalies, Replication, Asset pricing

Intermarket Technical Research of the U.S. Capital Markets and the Czech Stock Market Performance,
Jana Vychytilova, in Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis (2014)
Keywords: cross-asset allocation perspective, asset market linkages, attributes of cross-market movements and capital market fluctuations

Financial Integration and Asset Returns,
Helene Rey and Philippe Martin, from HAL (2000)
Keywords: Financial integration,Asset trade,Transaction costs,Cross-listing

Financial integration and asset returns,
Philippe Martin and Helene Rey, from London School of Economics and Political Science, LSE Library (2000)
Keywords: Financial integration; asset trade; transaction costs; cross-listing

Safe Assets at Financial Globalization,
Ly Hung, from HAL (2020)
Keywords: Economic Growth,Safe Assets,Globalizaton,Cross-Section Regression.

Financial Integration and Asset Returns,
Philippe Martin and Helene Rey, from Centre for Economic Performance, LSE (2000)
Keywords: Financial integration, asset trade, transaction costs, cross-listing

Financial Integration and Asset Returns,
Philippe Martin and Helene Rey, from C.E.P.R. Discussion Papers (1999)
Keywords: Asset Trade; Cross-Listing; Financial Integration; Transaction Costs

The determinants of the volatility of returns on cross-border asset holdings,
Faruk Balli, Syed Basher and Faisal Rana, in Journal of International Money and Finance (2014)
Keywords: Asset return volatility; Financial integration; International portfolio choice; Asset holdings; Endogeneity bias;

The determinants of the volatility of returns on cross-border asset holdings,
Faruk Balli, Syed Basher and Faisal Rana, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014)
Keywords: Asset return volatility, financial integration, international portfolio choice, asset holdings, endogeneity bias

Cross-listed cross-currency assets and arbitrage with forwards and options,
Dilip K. Ghosh, Dipasri Ghosh and Chandra Shekhar Bhatnagar, in Global Finance Journal (2010)
Keywords: Arbitrage Cross Listing Derivatives Forward Contracts Options Contracts Iterative Profit

Exponent of Cross-sectional Dependence: Estimation and Inference,
Natalia Bailey, George Kapetanios and Mohammad Pesaran, from Institute of Labor Economics (IZA) (2012)
Keywords: cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, Capital Asset Pricing Model

Exponent of Cross-sectional Dependence: Estimation and Inference,
Natalia Bailey, George Kapetanios and Mohammad Pesaran, from CESifo (2012)
Keywords: cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, Capital Asset Pricing Model

Determinants of stock market reaction to cross-border acquisitions: evidence from emerging economies,
Samta Jain, Smita Kashiramka and P. K. Jain, in International Journal of Emerging Markets (2021)
Keywords: Asset-exploitation, Asset-seeking, China, Cross-border acquisitions, India

Establishing the legal status of crypto-assets as securities, violation of consumer rights on the Internet, balancing private and public interests in content moderation, liberalization of cross-border data flows, banning social networks for children,
Antonina Levashenko, Maria Girich, Ivan Ermokhin, Olga Magomedova and Tatiana Malinina), in Digital monitoring (In Russian) (2024)
Keywords: Crypto-assets, consumer rights, private and public interests, cross-border data flows, social networks, children

Establishing the legal status of crypto-assets as securities, violation of consumer rights on the Internet, balancing private and public interests in content moderation, liberalization of cross-border data flows, banning social networks for children,
Antonina Levashenko, Maria Girich, Ivan Ermokhin, Olga Magomedova and Tatiana Malinina, in Digital monitoring (2024)
Keywords: Crypto-assets, consumer rights, private and public interests, cross-border data flows, social networks, children

Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis,
Phong Nguyen and Wei-han Liu, in International Review of Finance (2017)

Asset pricing with extreme liquidity risk,
Ying Wu, in Journal of Empirical Finance (2019)
Keywords: Asset pricing; Extreme liquidity risk; Cross section of returns;

Some extensions of the CAPM for individual assets,
Vasco Vendrame, Jon Tucker and Cherif Guermat, in International Review of Financial Analysis (2016)
Keywords: CAPM; Higher moments; Kurtosis; Skewness; Cross-section; Individual assets;

The cross-section of investment and profitability: Implications for asset pricing,
Mete Kilic, Louis Yang and Miao Ben Zhang, in Journal of Financial Economics (2022)
Keywords: Investment CAPM; Cross-section of stock returns; q-Factors; Investment premium; Profitability premium; Out-of-sample test;

Spillover Impact of the US Unconventional Monetary Policy and Uncertainties on Stock-Bond Correlations,
Abobaker AL.AL Hadood and Korhan K. Gokmenoglu, in Panoeconomicus (2023)
Keywords: Cross-country cross-asset correlations, Unconventional monetary policy, Uncertainties, Quantile regression

Global, regional, and country-specific components of financial market indicators,
Zalan Kocsis, in Acta Oeconomica (2014)
Keywords: variance decomposition, factor analysis, Procrustes rotation, spillover, cross-country correlations, cross-asset correlations

Flights and contagion--An empirical analysis of stock-bond correlations,
Dirk Baur and Brian Lucey, in Journal of Financial Stability (2009)
Keywords: Flight-to-quality Flight-from-quality Cross-asset contagion Cross-country contagion Multivariate GARCH Panel regression