Extra-Market Components of Covariance in Security Returns

Rosenberg, Barr·1974·The Journal of Financial and Quantitative Analysis
DOI 10.2307/2330104

Cited by (295)

Items 201–295 of 295

  1. Economic recovery and inflation risk: what is the “price” to manage debt?
    CIIA® Independent Investment & Risk Analyst, Gianluca Macchia · 2021 · Risk Management Magazine
  2. Portfolio optimisation with transaction cost
    M. Woodside-Oriakhi · 2011 · Brunel University Research Archive (BURA) (Brunel University London)
  3. The return generating process of the Arbitrage Pricing Theory : intertemporal stationarity and cross-sectional congruence.
    Michael Lee McBain · 2023 · Scholarworks (University of Massachusetts Amherst)
  4. Constructing and Testing the 'World Market Portfolio' for Dollar Based Investors
    Ephraïm Clark, Konstantinos Kassimatis · 2006 · SSRN Electronic Journal
  5. Estimating the Recession Risk Exposure of Stocks
    Jingling Guan · 2011 · SSRN Electronic Journal
  6. The Intrinsic Logic of the Augmented Black-Litterman Model
    Wing Cheung · 2010 · SSRN Electronic Journal
  7. Equity portfolio risk estimation using market information and sentiment
    Leela R. Mitra, Gautam Mitra, Dan diBartolomeo · 2011
  8. Mean-Variance Analysis
    Harry M. Markowitz · 2018 · The New Palgrave Dictionary of Economics
  9. A Unified Portfolio Theory: Explaining, Unifying, and Guiding Portfolio Selection with Parsimony
    Wing Cheung · 2026 · SSRN Electronic Journal
  10. Feature configuration effects in DRL portfolio management: a risk-focused evaluation under market stress
    Rayan Ayari · 2025 · Quantitative Finance
  11. An exact algorithm for factor model in portfolio selection with roundlot constraints
    Xiaoling L. Sun, Shufen Niu, Duan Li · 2009 · Optimization
  12. Challenges in Quantitative Equity Management (corrected July 2008)
    2008
  13. A Case Study of Portfolio Construction Using the USER Data and the Barra Aegis System
    John B. Guerard · 2012 · Springer eBooks
  14. The Theory of Risk, Return, and Performance Measurement
    John B. Guerard · 2016 · Springer eBooks
  15. The General Linear Model IV
    Phoebus J. Dhrymes · 2017 · Springer eBooks
  16. The Art of Losing in Investing: Harvesting Tax Losses for a Positive Impact
    Edward N.W. Aw, Sanjun Chen, Christopher R. Dornick, John Q. Jiang · 2018 · The Journal of Wealth Management
  17. Firms’ exposures to geographic risks
    Bernard Dumas, Tymur Gabuniya, Richard C. Marston · 2021 · Journal of International Money and Finance
  18. Risk and Return of Equity, the Capital Asset Pricing Model, and Stock Selection for Efficient Portfolio Construction
    John B. Guerard, Anureet Saxena, Mustafa N. Gultekin · 2022 · Springer eBooks
  19. Applying Mean‐Variance Analysis
    Frank J. Fabozzi · 2009
  20. Multi-Factor Risk Models
    John B. Guerard, Eli Schwartz · 2007 · Springer eBooks
  21. Comment: Systematic Interest-Rate Risk in a Two-Index Model of Returns
    Bob Korkie · 1974 · Journal of Financial and Quantitative Analysis
  22. Portfolio Optimisation with Cap Weight Restrictions
    Niklas F. Wagner · 1998 · Advances in computational management science
  23. Does it Pay to Have Fat Tails? Examining Kurtosis and the Cross-Section of Stock Returns
    Benjamin M. Blau, Abdullah Al Masud, Ryan J. Whitby · 2013 · SSRN Electronic Journal
  24. Factor Models in Finance
    Sergio M. Focardi · 2009 · Repository KITopen (Karlsruhe Institute of Technology)
  25. Finance and Financial Economics: A Debate About Common Sense and Illogical Models
    Pablo Daniel Fernandez · 2017 · SSRN Electronic Journal
  26. 18 Topics Badly Explained by Many Finance Professors
    Pablo Daniel Fernandez · 2018 · SSRN Electronic Journal
  27. Notes
    Eric Falkenstein · 2009
  28. Bibliography
    2017
  29. Portfolio Theory
    Harry M. Markowitz · 2011 · International Encyclopedia of Statistical Science
  30. A History of Commercially Available Risk Models
    John Blin, John B. Guerard, Andrew Mark · 2022 · Springer eBooks
  31. Mean-Reversion Risk APT and the Mean-Reversion Risk CAPM
    C. Kenneth Jones · 2023 · SSRN Electronic Journal
  32. When Do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor?
    Serhiy Kozak, Stefan Nagel · 2023 · SSRN Electronic Journal
  33. Dynamic Random Coefficient Regression Model for Electricity Demand: The Small Sample Case.
    Susan M. L. Zee · 1991
  34. An Empirical Examination of the Robustness of Arbitrage Factors
    Randall Barry Howard · 1998
  35. 3 Semiparametric methods for asset pricing models
    Bruce N. Lehmann · 1996 · Handbook of statistics
  36. Some aspects of the optimal grouping of stocks
    Geoffrey J. Lauprete · 1998 · DSpace@MIT (Massachusetts Institute of Technology)
  37. The Basic Principles of Investment Management
    Frank J. Fabozzi, Pamela Peterson Drake · 2009
  38. Capital Asset Pricing Models
    Frank J. Fabozzi, Harry M. Markowitz · 2012 · Encyclopedia of Financial Models
  39. A multi-factor model for the Swedish stock market
    Patrik Nilsson, Pär Karlsson · 2006 · Lund University Publications Student Papers (Lund University)
  40. Adding value to pensions portfolios through effective risk management and hedging
    Frances Cowell · 2006 · Pensions An International Journal
  41. The General Linear Model IV
    Phoebus J. Dhrymes · 1978 · Springer eBooks
  42. Risk and Return on Equity and the Capital Asset Pricing Model
    John B. Guerard, Eli Schwartz · 2007 · Springer eBooks
  43. A Note Regarding the Further Analysis of Efficient Portfolios with the GLER Data
    John B. Guerard · 2014 · The Journal of Investing
  44. Portfolio Management and the Shrinking Knapsack Algorithm
    Bernell K. Stone, Ned C. Hill · 1979 · Journal of Financial and Quantitative Analysis
  45. Estimating nonlinear effects of management styles in the US equity market using a classifier neural network
    Dan diBartolomeo, Sandy Warrick · 2003 · International Joint Conference on Neural Networks (IJCNN)
  46. Markowitz Applications in the 1990s and the New Century: Data Mining Corrections and the 130/30
    John B. Guerard · 2009 · Springer eBooks
  47. Estimating the Cost of Equity Capital Using Empirical Asset Pricing Models
    Adriana S. Cordis, Chris Kirby · 2015 · SSRN Electronic Journal
  48. Identifying the Relative Importance of Stock Characteristics in the UK Market
    Declan French, Yuliang Wu, Youwei Li · 2014 · SSRN Electronic Journal
  49. DSP Acceleration for Dynamic Financial Models
    Joe Kelley · 2011 · Advances in finance, accounting, and economics book series
  50. Indexation of Portfolios
    Frances Cowell · 1997 · Palgrave Macmillan UK eBooks
  51. Chapter 6 Models for Portfolio Revision with Transaction Costs in the Mean-Variance Framework
    Andrew H. Chen, Frank J. Fabozzi, Dashan Huang · 2010
  52. Empirical Analysis of Market Connectedness as a Risk Factor for Explaining Expected Stock Returns
    Shijie Deng, Min Kyu Sim, Xiaoming Huo · 2016 · Springer eBooks
  53. Time-Varying Macroeconomic Exposures in the Indian Stock Market
    강형구 · 2009 · Journal of South Asian Studies
  54. Finanzas y Economma Financiera (Finance and Financial Economics)
    Pablo Daniel Fernandez · 2017 · SSRN Electronic Journal
  55. The valuation of Research and Development: Does it Pay to be Different?
    José António C. Moreira, Peter F. Pope · 2003 · Portuguese National Funding Agency for Science, Research and Technology (RCAAP Project by FCT)
  56. ANALIZA WYCENY OPCJI EUROPEJSKICH W MODELU HULLA – WHITE’A
    Arkadiusz Orzechowski · 2016 · DOAJ (DOAJ: Directory of Open Access Journals)
  57. INVITED EDITORIAL COMMENT: An Introduction to Active Quant
    John B. Guerard · 2017 · The Journal of Investing
  58. Stephen A. Ross: Excellence Beyond Recognition
    Ludwig B. Chincarini, Frank J. Fabozzi · 2018 · The Journal of Portfolio Management
  59. Firm Characteristics and the Cross-Section of Covariance Risk
    Chris Kirby · 2018 · SSRN Electronic Journal
  60. Heterotic Risk Models
    Zura Kakushadze · 2015 · RePEc: Research Papers in Economics
  61. Dynamic Peer Groups of Arbitrage Characteristics
    S. Li, Oliver Linton, Ge, Shuyi · 2020 · Apollo (University of Cambridge)
  62. More on Stock Selection Strategy: Alpha Hunting, Risk Adjustment, and Nonparametric Diagnostics
    Lingjie Ma · 2020 · Springer eBooks
  63. Multifactor Risk Models and Portfolio Construction and Management
    John B. Guerard, Anureet Saxena, Mustafa N. Gultekin · 2020 · Springer eBooks
  64. Model Risk in Risk Models: Quantifying Statistical Uncertainty in Active Risk
    Kevin Khang · 2021 · The Journal of Portfolio Management
  65. Multi Anchor Point Shrinkage for the Sample Covariance Matrix (Extended Version)
    Hubeyb Gurdogan, Alec N. Kercheval · 2021 · RePEc: Research Papers in Economics
  66. Multi-Factor Model Construction for Equity Market of India
    Rahul Kumar · 2008 · SSRN Electronic Journal
  67. Sustainable Investing - Does ESG Induce a Virtuous Circle?
    Máté Fain · 2021
  68. The Development of Mean–Variance-Efficient Portfolios in Japan and the United States:25 Years After; or, What Has Driven Stock Selection Models in Japan and the United States?
    John B. Guerard · 2017 · The Journal of Investing
  69. Risk and Return of Equity and the Capital Asset Pricing Model
    John B. Guerard, Anureet Saxena, Mustafa N. Gultekin · 2020 · Springer eBooks
  70. Mean-Variance Analysis
    Harry M. Markowitz · 2008 · The New Palgrave Dictionary of Economics
  71. Improving Risk Forecasts Through Cross-Sectional Observations
    Jose Menchero, Andrei Morozov · 2015 · The Journal of Portfolio Management
  72. Active Management in Portfolio Selection and Management Within Business Cycles and Present-Day COVID
    John B. Guerard · 2022 · Springer eBooks
  73. A History of Commercially Available Risk Models
    John Blin, John B. Guerard, Andrew Mark · 2021 · Springer eBooks
  74. Calculating Factor Fundamentals Using A Business Factor Model
    Nathan Tidd, Brian Willem · 2022 · SSRN Electronic Journal
  75. Multifactor Risk Models and Portfolio Construction and Management
    John B. Guerard, Anureet Saxena, Mustafa N. Gultekin · 2022 · Springer eBooks
  76. Adaptive estimation of autoregression models under long-tailed symmetric distribution
    Begüm Yentür, Aysen Dener Akkaya, Özlem Türker Bayrak · 2022 · Communications in Statistics - Simulation and Computation
  77. Rise of Institutional Quantitative Asset Management
    Richard O. Michaud · 2022 · Springer eBooks
  78. Geographic Investing: Stock Return Indexes Based on Company Operations
    Bernard Dumas, Tymur Gabuniya, Richard C. Marston · 2023 · Financial Analysts Journal
  79. Predicting Equity Returns with Forecast Combinations of Deep Learning and Ensemble Methods
    Eike-Christian Brinkop, Emese Lazar, Marcel Prokopczuk · 2023 · SSRN Electronic Journal
  80. Fundamental Law of Active Management under Fundamental Factor Models: Practical Application.
    Sanele Makamo · 2023 · SSRN Electronic Journal
  81. Untangling Universality and Dispelling Myths in Mean-Variance Optimization
    Elie Benveniste, Petter N. Kolm, Gordon Ritter · 2024 · SSRN Electronic Journal
  82. Liquid Factor Models
    Dale W. R. Rosenthal · 2024 · SSRN Electronic Journal
  83. Estimation of Characteristics-Based Quantile Factor Models
    Jesús Gonzalo, Liang Chen, Juan J. Dolado, Haozi Pan · 2024 · SSRN Electronic Journal
  84. Unbiased Validation of Portfolio Theory: A Model-Agnostic Framework for Resolving Joint Tests and Quantifying Subjectivity
    Wing Cheung · 2024 · SSRN Electronic Journal
  85. Beyond the Numbers: Soft Information in Conditional Asset Pricing
    Jian Feng, Jiantao Huang, Shiyang Huang, Ran Shi · 2025 · SSRN Electronic Journal
  86. Granular betas and risk premium functions
    Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg · 2025 · Journal of Econometrics
  87. Portfolio Theory
    Harry M. Markowitz · 2025 · International Encyclopedia of Statistical Science
  88. Breaks and Trends in Factor Premia
    Liyuan Cui, Guanhao Feng, Jianxin Ma, Yang Su · 2025 · SSRN Electronic Journal
  89. Low-Beta Puzzles: Implications for Factor Investing
    Mingyang Xu · 2025 · SSRN Electronic Journal
  90. The autoencoder asset pricing model in the Chinese stock market
    Qi Shu, Heng Xiong, Gongqiu Zhang · 2025 · Applied Economics
  91. Mean-Variance Analysis
    Harry M. Markowitz · 2008 · The New Palgrave Dictionary of Economics
  92. More Markowitz Efficient Portfolios Featuring the USER Data and an Extension to Global Data and Investment Universes
    John B. Guerard · 2012 · Springer eBooks
  93. Systematic Reversal and Industry Momentum
    Cheng Gao, Sophia Zhengzi Li, Peixuan Yuan, Guofu Zhou · 2026 · SSRN Electronic Journal
  94. Exploring parsimonious principles that unify active portfolio selection (I): model
    Wing Cheung · 2026 · Quantitative Finance
  95. StockMamba: State-Space Gated Stock Transformer with Rank-Aware Optimization
    Peng Zhang · 2026 · Mathematics