Quantitative Finance · 2009 · 59 citations · 57 references
BusinessEconomicsFinanceEconometricsFinancial EconomicsFinancial MarketsAsset Pricing EmpiricsAsset Return ModelingCapital MarketsMarket RiskModel SpecificationTime Series EconometricsAsset PortfoliosBeta RegressionEquity Market RiskMarket BetaMarket Risk ModelingMarket TransitionStock Market ReturnsThreshold Parameter Estimation
The authors use a logistic smooth transition market (LSTM) model to investigate whether ‘bull’ and ‘bear’ market betas for Australian industry portfolios returns differ. The LSTM model allows the data to determine a threshold parameter that differ
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The Cross‐Section of Expected Stock Returns
Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1992 · 15.1K citations · Full text
The Cross-Section of Expected Stock Returns
Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1992 · 5.5K citations
William F. Sharpe · The Journal of Business · 1966 · 3.8K citations