Concepedia

Volatilities and Momentum Returns in Real Estate Investment Trusts

Kathy Hung, John L. Glascock

SSRN Electronic Journal · 2008 · 11 citations · 65 references

DOIFull text

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References

65

Common risk factors in the returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.7K citations

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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

Narasimhan Jegadeesh, Sheridan Titman · The Journal of Finance · 1993 · 11.5K citations

, , +17

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.4K citations

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Illiquidity and stock returns: cross-section and time-series effects

Yakov Amihud · Journal of Financial Markets · 2002 · 10.3K citations · Full text

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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

, , +17