Purpose This study aims to provide a comprehensive overview of asset pricing research and
identifies the general research trends in the area. The study also aims to provide future …

Based on the normal Value-at-Risk, we develop a new Value-at-Risk method called
Modified Value-at-Risk. This Modified Value-at-Risk has the property to adjust the risk …

We offer empirical evidence that size, low-risk, value, and momentum factor portfolios
generate economically meaningful and statistically significant alphas in the corporate bond …

This paper sheds light on the similarities and differences with respect to the presence of
anomalies in the China A-share market and other markets. To this end, we examine the …

High-risk stocks do not have higher returns than low-risk stocks in all major stock markets.
This article provides a comprehensive overview of this low-risk effect, from the earliest asset …

This paper re-examines gold's role as a tool for investors to manage their portfolio risk. We
begin by assessing gold's average relationship to an investor's diversified equity portfolio by …

Purpose This paper aims to examine the relationship between business process
management (BPM) and company performance. The research focuses on the instrumental …

It is well documented that less risky assets tend to outperform their riskier counterparts
across asset classes. This paper provides a structured summary of the current state of …

The authors considered liquidity and transaction costs in the practical implementation of
betting against beta (BAB) strategies. Using the 30 highly liquid stocks of the Dow Jones …

This paper documents a highly downward-sloping security market line (SML) in China,
which is more puzzling than the typical “flattened” SML in the US, and does not reconcile …