메뉴 건너뛰기




Volumn 16, Issue 2, 2003, Pages 459-485

Risk Adjustment and Trading Strategies

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0037501637     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/hhg001     Document Type: Article
Times cited : (92)

References (47)
  • 2
    • 0344970470 scopus 로고    scopus 로고
    • Risk Adjustment and Trading Strategies
    • University of North Carolina
    • Ahn, D., J. Conrad, and R. Dittmar, 2000, "Risk Adjustment and Trading Strategies," working paper, University of North Carolina.
    • (2000) Working Paper
    • Ahn, D.1    Conrad, J.2    Dittmar, R.3
  • 3
    • 0002443243 scopus 로고
    • Problems in Measuring Portfolio Performance: An Application to Contrarian Investment Strategies
    • Ball, R., S. Kothari, and J. Shanken, 1995, "Problems in Measuring Portfolio Performance: An Application to Contrarian Investment Strategies, " Journal of Financial Economics, 38, 79-107.
    • (1995) Journal of Financial Economics , vol.38 , pp. 79-107
    • Ball, R.1    Kothari, S.2    Shanken, J.3
  • 5
    • 0039613660 scopus 로고    scopus 로고
    • Diversification, Integration and Emerging Market Closed-End Funds
    • Bekaert, G., and M. S. Urias, 1996, "Diversification, Integration and Emerging Market Closed-End Funds," Journal of Finance, 51, 835-869.
    • (1996) Journal of Finance , vol.51 , pp. 835-869
    • Bekaert, G.1    Urias, M.S.2
  • 6
    • 0009713512 scopus 로고
    • An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities
    • Breeden, D., 1979, "An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities," Journal of Financial Economics, 7, 265-296.
    • (1979) Journal of Financial Economics , vol.7 , pp. 265-296
    • Breeden, D.1
  • 7
    • 0345401903 scopus 로고
    • Stock Returns and the Term Structure
    • Campbell, J., 1987, "Stock Returns and the Term Structure," Journal of Financial Economics, 14, 359-375.
    • (1987) Journal of Financial Economics , vol.14 , pp. 359-375
    • Campbell, J.1
  • 8
    • 0002624840 scopus 로고    scopus 로고
    • On Persistence in Mutual Fund Performance
    • Carhart, M., 1997, "On Persistence in Mutual Fund Performance, " Journal of Finance, 52, 57-82.
    • (1997) Journal of Finance , vol.52 , pp. 57-82
    • Carhart, M.1
  • 9
    • 0000915180 scopus 로고
    • Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
    • Chamberlain, G., and M. Rothschild, 1983, "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets," Econometrica, 51, 1281-1304.
    • (1983) Econometrica , vol.51 , pp. 1281-1304
    • Chamberlain, G.1    Rothschild, M.2
  • 10
    • 0030540877 scopus 로고    scopus 로고
    • Portfolio Performance Measurement: Theory and Applications
    • Chen, Z., and P. Knez, 1996, "Portfolio Performance Measurement: Theory and Applications," Review of Financial Studies, 9, 511-555.
    • (1996) Review of Financial Studies , vol.9 , pp. 511-555
    • Chen, Z.1    Knez, P.2
  • 11
    • 0344539429 scopus 로고    scopus 로고
    • Momentum, Business Cycle and Time-Varying Expected Returns
    • Chordia, T., and Shivakumar, 2000, "Momentum, Business Cycle and Time-Varying Expected Returns," forthcoming in Journal of Finance.
    • (2000) Journal of Finance
    • Chordia, T.1    Shivakumar2
  • 12
    • 0004291281 scopus 로고    scopus 로고
    • unpublished manuscript, University of Chicago
    • Cochrane, J., 1997, "Asset Pricing," unpublished manuscript, University of Chicago.
    • (1997) Asset Pricing
    • Cochrane, J.1
  • 14
    • 0038851966 scopus 로고    scopus 로고
    • Evaluating Portfolio Performance with Stochastic Discount Factors
    • Dahlquist, M., and P. Soderlind, 1999, "Evaluating Portfolio Performance with Stochastic Discount Factors," Journal of Business, 72, 347-383.
    • (1999) Journal of Business , vol.72 , pp. 347-383
    • Dahlquist, M.1    Soderlind, P.2
  • 15
    • 8744258405 scopus 로고    scopus 로고
    • Investor Overconfidence, Covariance Risk, and Predictors of Securities Returns
    • Daniel, K., D. Hirshleifer, and A. Subrahmanyam, 1998, "Investor Overconfidence, Covariance Risk, and Predictors of Securities Returns," Journal of Finance, 53, 1839-1886.
    • (1998) Journal of Finance , vol.53 , pp. 1839-1886
    • Daniel, K.1    Hirshleifer, D.2    Subrahmanyam, A.3
  • 17
    • 0042674102 scopus 로고    scopus 로고
    • Nonlinear Pricing Kernels, Kurtosis Preference, and the Cross-Section of Equity Returns
    • Dittmar, R., 2002, "Nonlinear Pricing Kernels, Kurtosis Preference, and the Cross-Section of Equity Returns," forthcoming in Journal of Finance.
    • (2002) Journal of Finance
    • Dittmar, R.1
  • 18
    • 0000029776 scopus 로고
    • Efficient Capital Markets: II
    • Fama, E., 1991, "Efficient Capital Markets: II," Journal of Finance, 46, 1575-1617.
    • (1991) Journal of Finance , vol.46 , pp. 1575-1617
    • Fama, E.1
  • 19
    • 0346207692 scopus 로고    scopus 로고
    • Market Efficiency, Long-Term Returns, and Behavioral Finance
    • Fama, E., 1998, "Market Efficiency, Long-Term Returns, and Behavioral Finance," Journal of Financial Economics, 33, 283-306.
    • (1998) Journal of Financial Economics , vol.33 , pp. 283-306
    • Fama, E.1
  • 20
    • 0000562129 scopus 로고
    • Dividend Yields and Expected Stock Prices
    • Fama, E., and K. French, 1988, "Dividend Yields and Expected Stock Prices," Journal of Political Economy, 96, 246-273.
    • (1988) Journal of Political Economy , vol.96 , pp. 246-273
    • Fama, E.1    French, K.2
  • 21
    • 84977737676 scopus 로고
    • The Cross-Section of Expected Stock Returns
    • Fama, E., and K. French, 1992, "The Cross-Section of Expected Stock Returns," Journal of Finance, 47, 427-465.
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.1    French, K.2
  • 22
    • 0013413658 scopus 로고    scopus 로고
    • Multifactor Explanations of Asset Pricing Anomalies
    • Fama, E., and K. French, 1996, "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, 51, 55-84.
    • (1996) Journal of Finance , vol.51 , pp. 55-84
    • Fama, E.1    French, K.2
  • 24
    • 84977709203 scopus 로고
    • Changes in Expected Security Returns, Risk and the Level of Interest Rates
    • Ferson, W., 1989, "Changes in Expected Security Returns, Risk and the Level of Interest Rates," Journal of Finance, 44, 1191-1217.
    • (1989) Journal of Finance , vol.44 , pp. 1191-1217
    • Ferson, W.1
  • 25
    • 84934453931 scopus 로고
    • The Variation of Economic Risk Premiums
    • Ferson, W., and C. Harvey, 1991, "The Variation of Economic Risk Premiums," Journal of Political Economy, 99, 385-415.
    • (1991) Journal of Political Economy , vol.99 , pp. 385-415
    • Ferson, W.1    Harvey, C.2
  • 26
    • 0003289170 scopus 로고
    • Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio
    • Gibbons, M., and W. Ferson, 1985, "Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio," Journal of Financial Economics, 14, 217-236.
    • (1985) Journal of Financial Economics , vol.14 , pp. 217-236
    • Gibbons, M.1    Ferson, W.2
  • 27
    • 0035581626 scopus 로고    scopus 로고
    • Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing
    • Grundy, B. D., and J. S. Martin, 2001, "Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing," Review of Financial Studies, 14, 29-78.
    • (2001) Review of Financial Studies , vol.14 , pp. 29-78
    • Grundy, B.D.1    Martin, J.S.2
  • 28
    • 0000414660 scopus 로고
    • Large Sample Properties of Generalized Method of Moments Estimators
    • Hansen, L. P., 1982, "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, 50, 1029-1079.
    • (1982) Econometrica , vol.50 , pp. 1029-1079
    • Hansen, L.P.1
  • 29
    • 84934563125 scopus 로고
    • Implications of Security Market Data for Models of Dynamic Economies
    • Hansen, L. P., and R. Jagannathan, 1991, "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, 99, 225-262.
    • (1991) Journal of Political Economy , vol.99 , pp. 225-262
    • Hansen, L.P.1    Jagannathan, R.2
  • 30
    • 0010274340 scopus 로고    scopus 로고
    • Assessing Specification Errors in Stochastic Discount Factor Models
    • Hansen, L. P., and R. Jagannathan, 1997, "Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, 52, 557-590.
    • (1997) Journal of Finance , vol.52 , pp. 557-590
    • Hansen, L.P.1    Jagannathan, R.2
  • 31
    • 0000089498 scopus 로고
    • The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
    • Hansen, L. P., and S. Richard, 1987, "The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models," Econometrica, 55, 587-613.
    • (1987) Econometrica , vol.55 , pp. 587-613
    • Hansen, L.P.1    Richard, S.2
  • 32
    • 85017108575 scopus 로고
    • Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations
    • Hansen, L. P., and K. Singleton, 1982, "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations," Econometrica, 50, 1269-1286.
    • (1982) Econometrica , vol.50 , pp. 1269-1286
    • Hansen, L.P.1    Singleton, K.2
  • 33
    • 38649141305 scopus 로고
    • Martingales and Arbitrage in Multiperiod Securities Markets
    • Harrison, J., and D. Kreps, 1979, "Martingales and Arbitrage in Multiperiod Securities Markets," Journal of Economic Theory, 20, 381-408.
    • (1979) Journal of Economic Theory , vol.20 , pp. 381-408
    • Harrison, J.1    Kreps, D.2
  • 34
    • 0000425816 scopus 로고
    • Time-Varying Conditional Covariances in Tests of Asset Pricing Models
    • Harvey, C., 1989, "Time-Varying Conditional Covariances in Tests of Asset Pricing Models," Journal of Financial Economics, 24, 289-317.
    • (1989) Journal of Financial Economics , vol.24 , pp. 289-317
    • Harvey, C.1
  • 36
    • 84993907227 scopus 로고
    • Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
    • Jegadeesh, N., and S. Titman, 1993, "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, 48, 65-91.
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 37
    • 0000486548 scopus 로고
    • The Performance of Mutual Funds in the Period 1945-1964
    • Jensen, M., 1968, "The Performance of Mutual Funds in the Period 1945-1964," Journal of Finance, 23, 389-416.
    • (1968) Journal of Finance , vol.23 , pp. 389-416
    • Jensen, M.1
  • 38
    • 28044443132 scopus 로고    scopus 로고
    • Tests of Mean-Variance Spanning
    • Washington University
    • Kan, R., and G. Zhou, 2001, "Tests of Mean-Variance Spanning," working paper, Washington University.
    • (2001) Working Paper
    • Kan, R.1    Zhou, G.2
  • 39
    • 0000563201 scopus 로고
    • Market and Industry Factors in Stock Price Behavior
    • King, B. F., 1966, "Market and Industry Factors in Stock Price Behavior," Journal of Business, 39, 139-190.
    • (1966) Journal of Business , vol.39 , pp. 139-190
    • King, B.F.1
  • 40
    • 0344107975 scopus 로고    scopus 로고
    • Momentum and Autocorrelation in Stock Returns
    • Lewellen, J., 2001, "Momentum and Autocorrelation in Stock Returns," forthcoming in Review of Financial Studies.
    • (2001) Review of Financial Studies
    • Lewellen, J.1
  • 41
    • 0001173683 scopus 로고
    • When Are Contrarian Profits Due to Stock Market Overreaction?
    • Lo, A. W., and A. C. MacKinlay, 1990, "When Are Contrarian Profits Due to Stock Market Overreaction?" Review of Financial Studies, 3, 175-205.
    • (1990) Review of Financial Studies , vol.3 , pp. 175-205
    • Lo, A.W.1    Mackinlay, A.C.2
  • 43
    • 0007740284 scopus 로고
    • Multifactor Models do not Explain Deviations from the CAPM
    • MacKinlay, A. C., 1995, "Multifactor Models do not Explain Deviations from the CAPM," Journal of Financial Economics, 38, 3-28.
    • (1995) Journal of Financial Economics , vol.38 , pp. 3-28
    • Mackinlay, A.C.1
  • 44
    • 0001738730 scopus 로고
    • An Intertemporal Capital Asset Pricing Model
    • Merton, R., 1973, "An Intertemporal Capital Asset Pricing Model," Econometrica, 41, 867-888.
    • (1973) Econometrica , vol.41 , pp. 867-888
    • Merton, R.1
  • 45
  • 46
    • 84977431626 scopus 로고
    • Ambiguity When Performance Is Measured by the Security Line
    • Roll, R., 1978, "Ambiguity When Performance Is Measured by the Security Line," Journal of Finance, 33, 1051-1069.
    • (1978) Journal of Finance , vol.33 , pp. 1051-1069
    • Roll, R.1
  • 47
    • 0040520434 scopus 로고
    • Intertemporal Asset Pricing: An Empirical Investigation
    • Shanken, J., 1990, "Intertemporal Asset Pricing: An Empirical Investigation," Journal of Econometrics, 45, 99-120.
    • (1990) Journal of Econometrics , vol.45 , pp. 99-120
    • Shanken, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.