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Documenting the Post-2000 Decline in the Idiosyncratic Volatility Effect 记录2000年后特殊波动效应的下降
IF 1.6
Critical Finance Review Pub Date : 2021-01-01 DOI: 10.1561/104.00000095
Chaehyun Pyun
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引用次数: 1
Introduction 介绍
IF 1.6
Critical Finance Review Pub Date : 2019-12-17 DOI: 10.1561/104.00000081
I. Welch
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引用次数: 0
Liquidity Risk and Asset Pricing 流动性风险与资产定价
IF 1.6
Critical Finance Review Pub Date : 2019-12-17 DOI: 10.1561/104.00000076
Hongtao Li, Robert Novy-Marx, Mihail Velikov
{"title":"Liquidity Risk and Asset Pricing","authors":"Hongtao Li, Robert Novy-Marx, Mihail Velikov","doi":"10.1561/104.00000076","DOIUrl":"https://doi.org/10.1561/104.00000076","url":null,"abstract":"Pastor and Stambaugh’s (PS 2003) aggregate liquidity innovations can be closely replicated, as can their traded factor based on historically estimated liquidity betas, which performs even stronger out of sample. This factor’s performance is highly sensitive to construction details, however, and exhibits significantly weaker performance when rebalanced at its natural monthly frequency, or when constructed using either more or less extreme sorts. Their predicted liquidity risk factor is more difficult to replicate, and difficult to interpret because characteristics chosen to predict liquidity risk introduce mechanical relations to other known anomalies. Contrary to the claims of PS, liquidity risk appears essentially unrelated to momentum. JEL classification: G11, G12.","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"1 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2019-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47498239","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Diseconomies of Scale in the Actively-Managed Mutual Fund Industry: Fund Industry: What Do the Outliers in the Data Tell Us?: A Response 主动管理型共同基金行业的规模不经济:基金行业:数据中的异常值告诉我们什么?:回应
IF 1.6
Critical Finance Review Pub Date : 2018-12-31 DOI: 10.1561/104.00000066
Harrison G. Hong, Wenxi Jiang
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引用次数: 0
Fund of Funds Selection of Mutual Funds 基金的基金选择共同基金
IF 1.6
Critical Finance Review Pub Date : 2018-12-31 DOI: 10.1561/104.00000056
E. Elton, M. Gruber, André de Souza
{"title":"Fund of Funds Selection of Mutual Funds","authors":"E. Elton, M. Gruber, André de Souza","doi":"10.1561/104.00000056","DOIUrl":"https://doi.org/10.1561/104.00000056","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":" ","pages":""},"PeriodicalIF":1.6,"publicationDate":"2018-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1561/104.00000056","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44800368","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Takeover Defense Provisions, Firm Volatility, and the Cost of Corporate Loan Finance 收购防御条款、公司波动性和公司贷款融资成本
IF 1.6
Critical Finance Review Pub Date : 2018-07-10 DOI: 10.1561/104.00000054
L. Gaul, Jonathan Jones, Pinar Uysal
{"title":"Takeover Defense Provisions, Firm Volatility, and the Cost of Corporate Loan Finance","authors":"L. Gaul, Jonathan Jones, Pinar Uysal","doi":"10.1561/104.00000054","DOIUrl":"https://doi.org/10.1561/104.00000054","url":null,"abstract":"This paper analyzes whether rm volatility can explain the negative relation between the G-Index and corporate loan spreads found by previous research. After controlling for rm volatility, we nd no statistically signicant linear relation between the","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"1 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2018-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1561/104.00000054","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41536001","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Shareholder Rights Do Affect the Cost of Bank Loan 股东权益对银行贷款成本的影响
IF 1.6
Critical Finance Review Pub Date : 2018-07-10 DOI: 10.1561/104.00000060
S. Chava, Dmitry Livdan, A. Purnanandam
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引用次数: 1
Why Do Firms Issue Convertible Bonds? 企业为什么发行可转换债券？
IF 1.6
Critical Finance Review Pub Date : 2018-07-10 DOI: 10.1561/104.00000048
Ming Dong, Marie Dutordoir, C. Veld
{"title":"Why Do Firms Issue Convertible Bonds?","authors":"Ming Dong, Marie Dutordoir, C. Veld","doi":"10.1561/104.00000048","DOIUrl":"https://doi.org/10.1561/104.00000048","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":" ","pages":""},"PeriodicalIF":1.6,"publicationDate":"2018-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1561/104.00000048","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45802030","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
The Impact of Currency Risk on US MNCs: New Evidence From Returns and Cross-Border Investment Around Currency Crises 货币风险对美国跨国公司的影响——来自货币危机前后收益和跨境投资的新证据
IF 1.6
Critical Finance Review Pub Date : 2018-07-10 DOI: 10.1561/104.00000044
Kathryn L. Dewenter, Catherine Schrand, Clare H. Wang
{"title":"The Impact of Currency Risk on US MNCs: New Evidence From Returns and Cross-Border Investment Around Currency Crises","authors":"Kathryn L. Dewenter, Catherine Schrand, Clare H. Wang","doi":"10.1561/104.00000044","DOIUrl":"https://doi.org/10.1561/104.00000044","url":null,"abstract":"The Impact of Currency Risk on US MNCs: New Evidence From Returns and Cross-Border Investment Around Currency Crises","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":" ","pages":""},"PeriodicalIF":1.6,"publicationDate":"2018-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1561/104.00000044","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48317422","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Capital Structure Changes Around IPOs 围绕ipo的资本结构变化
IF 1.6
Critical Finance Review Pub Date : 2018-07-10 DOI: 10.1561/104.00000045
Evan Dudley, C. James
{"title":"Capital Structure Changes Around IPOs","authors":"Evan Dudley, C. James","doi":"10.1561/104.00000045","DOIUrl":"https://doi.org/10.1561/104.00000045","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":" ","pages":""},"PeriodicalIF":1.6,"publicationDate":"2018-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1561/104.00000045","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47119646","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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