citation_journal_title=The Journal of Finance; citation_title=International portfolio choice and corporation finance: A synthesis; citation_author=M Adler, B Dumas; citation_volume=38; citation_issue=3; citation_publication_date=1983; citation_pages=925-984; citation_doi=10.1111/j.1540-6261.1983.tb02511.x; citation_id=CR1
Aevoae, G.M. et al. 2022. Can ESG factors be considered as a systematic risk factor for equity mutual funds in the Eurozone?. Zurich: Swiss Finance Institute. SFI Research Report no. 22–25
citation_journal_title=International Research Journal of Finance and Economics; citation_title=Wavelet-based systematic risk estimation an application on Istanbul stock exchange; citation_author=B Aktan; citation_volume=1; citation_issue=23; citation_publication_date=2009; citation_pages=33-45; citation_id=CR3
citation_journal_title=Applied Economics Letters; citation_title=Forecasting betas with random forests; citation_author=E Alanis; citation_volume=29; citation_issue=12; citation_publication_date=2022; citation_pages=1134-1138; citation_doi=10.1080/13504851.2021.1912278; citation_id=CR4
citation_journal_title=Journal of Portfolio Management; citation_title=ESG investing: From sin stocks to smart beta; citation_author=F Alessandrini, E Jondeau; citation_volume=46; citation_issue=3; citation_publication_date=2020; citation_pages=75-94; citation_doi=10.3905/jpm.2020.46.3.075; citation_id=CR5
citation_journal_title=International Journal of Finance and Economics; citation_title=Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets; citation_author=AK Alexandridis, MS Hasan; citation_volume=25; citation_issue=4; citation_publication_date=2020; citation_pages=518-546; citation_doi=10.1002/ijfe.1764; citation_id=CR6
citation_journal_title=International Journal of Managerial Finance; citation_title=Market risk, corporate governance, and the regulation during the recent financial crisis: The French context; citation_author=M Aloui, B Salhi, A Jarboui; citation_volume=15; citation_issue=5; citation_publication_date=2019; citation_pages=700-718; citation_doi=10.1108/IJMF-06-2018-0177; citation_id=CR7
citation_journal_title=Journal of Economic Cooperation and Development; citation_title=Beta wins again: Case of four emerging markets; citation_author=SAM Al-Rjoub, A al Yousef, IEN Ananzeh; citation_volume=31; citation_issue=1; citation_publication_date=2010; citation_pages=1-16; citation_id=CR8
citation_journal_title=Real Estate Economics; citation_title=Real estate and economies of scale: The case of REITs; citation_author=BW Ambrose, MJ Highfield, PD Linneman; citation_volume=33; citation_issue=2; citation_publication_date=2005; citation_pages=323-350; citation_doi=10.1111/j.1540-6229.2005.00121.x; citation_id=CR9
citation_journal_title=The Journal of Finance; citation_title=The effects of beta, bid-ask spread, residual risk, and size on stock returns; citation_author=Y Amihud, H Mendelson; citation_volume=44; citation_issue=2; citation_publication_date=1989; citation_pages=479-486; citation_doi=10.1111/j.1540-6261.1989.tb05067.x; citation_id=CR10
citation_journal_title=Journal of Empirical Finance; citation_title=CAPM over the long run: 1926–2001; citation_author=A Ang, J Chen; citation_volume=14; citation_issue=1; citation_publication_date=2007; citation_pages=1-40; citation_doi=10.1016/j.jempfin.2005.12.001; citation_id=CR11
citation_journal_title=Explorations in Economic History; citation_title=Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914); citation_author=J Annaert, Lord Mensah; citation_volume=52; citation_publication_date=2014; citation_pages=22-43; citation_doi=10.1016/j.eeh.2013.10.002; citation_id=CR12
citation_journal_title=Journal of Portfolio Management; citation_title=The beta continuum: From classic beta to bulk beta; citation_author=M Anson; citation_volume=34; citation_issue=2; citation_publication_date=2008; citation_pages=53-64; citation_doi=10.3905/jpm.2008.701617; citation_id=CR13
citation_journal_title=Finance India; citation_title=The behaviour of macro and micro economic variables and the impact on systematic risk of non-banking finance companies; citation_author=M Appala Raju; citation_volume=32; citation_issue=1; citation_publication_date=2018; citation_pages=121-138; citation_id=CR14
citation_journal_title=Revista Contabilidade e Financas; citation_title=Identifying outliers in asset pricing data with a new weighted forward search estimator; citation_author=A Aronne, L Grossi, AA Bressan; citation_volume=31; citation_issue=84; citation_publication_date=2020; citation_pages=458-472; citation_doi=10.1590/1808-057x201909620; citation_id=CR15
citation_journal_title=Journal of Finance; citation_title=“Lucas” in the laboratory; citation_author=E Asparouhova; citation_volume=71; citation_issue=6; citation_publication_date=2016; citation_pages=2727-2780; citation_doi=10.1111/jofi.12392; citation_id=CR16
citation_journal_title=Journal of Financial Economics; citation_title=Sustainable investing with ESG rating uncertainty; citation_author=D Avramov; citation_volume=145; citation_issue=2; citation_publication_date=2022; citation_pages=642-664; citation_doi=10.1016/j.jfineco.2021.09.009; citation_id=CR17
citation_journal_title=Journal of Wealth Management; citation_title=A morality tale of ESG: Assessing socially responsible investing; citation_author=ENW Aw, SJ LaPerla, GY Sivin; citation_volume=19; citation_issue=4; citation_publication_date=2017; citation_pages=14-23; citation_doi=10.3905/jwm.2017.19.4.014; citation_id=CR18
citation_journal_title=Annales Scientifiques De L'école Normale Supérieure; citation_title=Théorie de la spéculation; citation_author=LJ-BA Bachelier; citation_volume=17; citation_publication_date=1900; citation_pages=21-86; citation_doi=10.24033/asens.476; citation_id=CR19
citation_journal_title=Review of Quantitative Finance and Accounting; citation_title=Systematic risk estimation in the presence of large and many outliers; citation_author=SG Badrinath, S Chatterjee; citation_volume=3; citation_issue=1; citation_publication_date=1993; citation_pages=5-27; citation_doi=10.1007/BF02408410; citation_id=CR20
citation_journal_title=Journal of Empirical Finance; citation_title=Understanding industry betas; citation_author=L Baele, JM Londono; citation_volume=22; citation_publication_date=2013; citation_pages=30-51; citation_doi=10.1016/j.jempfin.2013.02.003; citation_id=CR21
citation_journal_title=Journal of Financial and Quantitative Analysis; citation_title=A lottery-demand-based explanation of the beta anomaly; citation_author=TG Bali; citation_volume=52; citation_issue=6; citation_publication_date=2017; citation_pages=2369-2397; citation_doi=10.1017/S0022109017000928; citation_id=CR22
citation_journal_title=European Financial Management; citation_title=Which beta is best? On the information content of option-implied betas; citation_author=R Baule, O Korn, S Saßning; citation_volume=22; citation_issue=3; citation_publication_date=2016; citation_pages=450-483; citation_doi=10.1111/eufm.12065; citation_id=CR23
citation_journal_title=Journal of Banking and Finance; citation_title=The memory of beta; citation_author=J Becker; citation_volume=124; citation_publication_date=2021; citation_pages=106026; citation_doi=10.1016/j.jbankfin.2020.106026; citation_id=CR24
citation_journal_title=Journal of Real Estate Finance and Economics; citation_title=The determinants of REIT institutional ownership: Tests of the CAPM; citation_author=SD Below, SR Stansell, M Coffin; citation_volume=21; citation_issue=3; citation_publication_date=2000; citation_pages=263-278; citation_doi=10.1023/A:1012003803494; citation_id=CR25
citation_journal_title=The Journal of Index Investing; citation_title=Thematic indexing, meet smart beta! Merging ESG into factor portfolios; citation_author=J Bender, X Sun, T Wang; citation_volume=8; citation_issue=3; citation_publication_date=2017; citation_pages=89-101; citation_doi=10.3905/jii.2017.8.3.089; citation_id=CR26
citation_journal_title=Journal of Risk Finance; citation_title=Time-varying beta during the 2008 financial crisis—evidence from North America and Western Europe; citation_author=I ben Slimane, M Bellalah, H Rjiba; citation_volume=18; citation_issue=4; citation_publication_date=2017; citation_pages=398-431; citation_doi=10.1108/JRF-02-2017-0020; citation_id=CR27
citation_journal_title=Journal of Financial Research; citation_title=Dual betas from bull and bear markets: Reversal of the size effect; citation_author=RK Bhardwaj, LD Brooks; citation_volume=16; citation_issue=4; citation_publication_date=1993; citation_pages=269-283; citation_doi=10.1111/j.1475-6803.1993.tb00147.x; citation_id=CR28
citation_journal_title=Journal of Portfolio Management; citation_title=Sin stocks revisited: Resolving the sin stock anomaly; citation_author=D Blitz, FJ Fabozzi; citation_volume=44; citation_issue=1; citation_publication_date=2017; citation_pages=105-111; citation_doi=10.3905/jpm.2017.44.1.105; citation_id=CR29
citation_journal_title=Journal of Empirical Finance; citation_title=The profitability of low-volatility; citation_author=D Blitz, M Vidojevic; citation_volume=43; citation_publication_date=2017; citation_pages=33-42; citation_doi=10.1016/j.jempfin.2017.05.001; citation_id=CR30
citation_journal_title=Journal of Alternative Investments; citation_title=Rethinking commodities; citation_author=F Boal, J Wiederhold; citation_volume=24; citation_issue=1; citation_publication_date=2021; citation_pages=136-147; citation_doi=10.3905/jai.2021.1.132; citation_id=CR31
citation_journal_title=Applied Economics; citation_title=How is β related to asset returns?; citation_author=B Bollen, P Gharghori; citation_volume=48; citation_issue=21; citation_publication_date=2016; citation_pages=1925-1935; citation_doi=10.1080/00036846.2015.1111985; citation_id=CR32
citation_journal_title=Journal of Financial Markets; citation_title=Political climate, optimism, and investment decisions; citation_author=Y Bonaparte, A Kumar, JK Page; citation_volume=34; citation_publication_date=2017; citation_pages=69-94; citation_doi=10.1016/j.finmar.2017.05.002; citation_id=CR33
citation_title=Theory of financial risk and derivative pricing: From statistical physics to risk management; citation_publication_date=2003; citation_id=CR34; citation_author=J-P Bouchaud; citation_author=M Potters; citation_publisher=Cambridge University Press
citation_journal_title=The Journal of Finance; citation_title=Empirical tests of the consumption-oriented CAPM; citation_author=DT Breeden, MR Gibbons, RH Litzenberger; citation_volume=44; citation_issue=2; citation_publication_date=1989; citation_pages=231-262; citation_id=CR35
citation_journal_title=Machine Learning; citation_title=Bagging predictors; citation_author=L Breiman; citation_volume=24; citation_issue=2; citation_publication_date=1996; citation_pages=123-140; citation_doi=10.1007/BF00058655; citation_id=CR36
Breiman, L. 1999. Random Forests-random features. University of California Berkeley, Statistics Department. Technical Report 567.
citation_journal_title=Machine Learning; citation_title=Random Forests; citation_author=L Breiman; citation_volume=45; citation_issue=1; citation_publication_date=2001; citation_pages=5-32; citation_doi=10.1023/A:1010933404324; citation_id=CR38
citation_journal_title=The Journal of Finance; citation_title=Beta changes around stock splits: A note; citation_author=MJ Brennan, TE Copeland; citation_volume=43; citation_issue=4; citation_publication_date=1988; citation_pages=1009-1013; citation_doi=10.1111/j.1540-6261.1988.tb02618.x; citation_id=CR39
BYU. 2022. Bloomberg guide: Beta, Bloomberg instruction and reference guides.
https://guides.lib.byu.edu/c.php?g=216390&p=1428678
. Accessed 20 May 2022.
citation_journal_title=The Journal of Portfolio Management; citation_title=The beta quotient; citation_author=RC Camp, AA Eubank; citation_volume=7; citation_issue=4; citation_publication_date=1981; citation_pages=53-58; citation_doi=10.3905/jpm.1981.408818; citation_id=CR41
citation_journal_title=The Journal of Finance; citation_title=On persistence in mutual fund performance; citation_author=MM Carhart; citation_volume=52; citation_issue=1; citation_publication_date=1997; citation_pages=57-82; citation_doi=10.1111/j.1540-6261.1997.tb03808.x; citation_id=CR42
citation_journal_title=Financial Analysts Journal; citation_title=Exotic beta revisited; citation_author=M Carhart; citation_volume=70; citation_issue=5; citation_publication_date=2014; citation_pages=24-52; citation_doi=10.2469/faj.v70.n5.4; citation_id=CR43
Caruana, R., Karampatziakis, N., and A. Yessenalina. 2008. An empirical evaluation of supervised learning in high dimensions. In Proceedings of the 25th International Conference on Machine Learning. New York: Association for Computing Machinery (ICML ’08): 96–103.
citation_journal_title=The Journal of Portfolio Management; citation_title=Are the reports of beta’s death premature?; citation_author=LKC Chan, J Lakonishok; citation_volume=19; citation_issue=4; citation_publication_date=1993; citation_pages=51-62; citation_doi=10.3905/jpm.1993.51; citation_id=CR45
citation_journal_title=Journal of Financial Economics; citation_title=Asset prices, midterm elections, and political uncertainty; citation_author=KF Chan, T Marsh; citation_volume=141; citation_issue=1; citation_publication_date=2021; citation_pages=276-296; citation_doi=10.1016/j.jfineco.2021.03.007; citation_id=CR46
citation_journal_title=International Review of Finance; citation_title=Does geographic proximity change the passiveness of equity ownership by bank trust?; citation_author=K Chang, Y Li, H-C Yi; citation_volume=20; citation_issue=1; citation_publication_date=2020; citation_pages=3-43; citation_doi=10.1111/irfi.12216; citation_id=CR47
Chen, J.-H., and N. Edwards. 2021 The spillover, risk and leverage effects of smart beta management Exchange-Traded Fund (ETF). Global Economy Journal 21(3).
citation_journal_title=The Journal of Business; citation_title=Economic forces and the stock market; citation_author=N-F Chen, R Roll, SA Ross; citation_volume=59; citation_issue=3; citation_publication_date=1986; citation_pages=383-403; citation_doi=10.1086/296344; citation_id=CR49
citation_journal_title=Economic Modelling; citation_title=Variance risk-premia in CO2 markets; citation_author=J Chevallier; citation_volume=31; citation_issue=1; citation_publication_date=2013; citation_pages=598-605; citation_doi=10.1016/j.econmod.2012.12.017; citation_id=CR50
citation_journal_title=Financial Management; citation_title=Idiosyncratic risk, investor base, and returns; citation_author=DC Chichernea, MF Ferguson, H Kassa; citation_volume=44; citation_issue=2; citation_publication_date=2015; citation_pages=267-293; citation_doi=10.1111/fima.12067; citation_id=CR51
citation_journal_title=Journal of Empirical Finance; citation_title=Beta and firm age; citation_author=LB Chincarini, D Kim, F Moneta; citation_volume=58; citation_publication_date=2020; citation_pages=50-74; citation_doi=10.1016/j.jempfin.2020.05.003; citation_id=CR52
citation_journal_title=Journal of Financial Economics; citation_title=Measuring abnormal performance? Do stocks overreact; citation_author=N Chopra, J Lakonishok, JR Ritter; citation_volume=31; citation_issue=2; citation_publication_date=1992; citation_pages=235-268; citation_doi=10.1016/0304-405X(92)90005-I; citation_id=CR53
citation_journal_title=Applied Economics Letters; citation_title=Is Beta dead? The role of alternative estimation methods; citation_author=A Clare, R Priestley, S Thomas; citation_volume=4; citation_issue=9; citation_publication_date=1997; citation_pages=559-562; citation_doi=10.1080/135048597355023; citation_id=CR54
citation_journal_title=Journal of Business Finance & Accounting; citation_title=Macroeconomic factors, the apt and the UK stockmarket; citation_author=AD Clare, SH Thomas; citation_volume=21; citation_issue=3; citation_publication_date=1994; citation_pages=309-330; citation_doi=10.1111/j.1468-5957.1994.tb00322.x; citation_id=CR55
citation_journal_title=Journal of Financial Economics; citation_title=The consumption based asset pricing model. A note on potential tests and applications; citation_author=B Cornell; citation_volume=9; citation_issue=1; citation_publication_date=1981; citation_pages=103-108; citation_doi=10.1016/0304-405X(81)90022-2; citation_id=CR56
citation_title=Random Forests; citation_inbook_title=Ensemble machine learning; citation_publication_date=2012; citation_pages=157-176; citation_id=CR57; citation_author=A Cutler; citation_author=DR Cutler; citation_author=JR Stevens; citation_publisher=Springer
citation_journal_title=Economic Notes; citation_title=ESG rating in investment risk analysis of companies listed on the public market in Poland; citation_author=T Czerwińska, P Kaźmierkiewicz; citation_volume=44; citation_issue=2; citation_publication_date=2015; citation_pages=211-248; citation_doi=10.1111/ecno.12031; citation_id=CR58
citation_journal_title=Journal of Asian Finance, Economics and Business; citation_title=Premiums/discounts, tracking errors and performance of Saudi Arabian ETFs; citation_author=A Diaw; citation_volume=6; citation_issue=2; citation_publication_date=2019; citation_pages=9-13; citation_doi=10.13106/jafeb.2019.vol6.no2.9; citation_id=CR59
citation_journal_title=International Journal of Theoretical and Applied Finance; citation_title=Why the return notion matters; citation_author=G Dorfleitner; citation_volume=6; citation_issue=1; citation_publication_date=2003; citation_pages=73-86; citation_doi=10.1142/S0219024903001797; citation_id=CR60
citation_journal_title=Journal of Financial Research; citation_title=Beta, size, risk, and return; citation_author=TW Downs, RW Ingram; citation_volume=23; citation_issue=3; citation_publication_date=2000; citation_pages=245-260; citation_doi=10.1111/j.1475-6803.2000.tb00742.x; citation_id=CR61
citation_journal_title=Transportation Research Part e: Logistics and Transportation Review; citation_title=Systematic risk behavior in cyclical industries: The case of shipping; citation_author=W Drobetz, C Menzel, H Schröder; citation_volume=88; citation_publication_date=2016; citation_pages=129-145; citation_doi=10.1016/j.tre.2016.01.008; citation_id=CR62
citation_journal_title=Journal of Investing; citation_title=Cryptocurrency risks; citation_author=JB Durham; citation_volume=29; citation_issue=4; citation_publication_date=2020; citation_pages=43-66; citation_doi=10.3905/joi.2020.1.128; citation_id=CR63
Eccles, R.G., and J. Stroehle. 2018. Exploring social origins in the construction of ESG measures, SSRN Electronic Journal.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3212685
. Accessed 29 Sept 2022.
citation_journal_title=Economic Theory; citation_title=CAPM-anomalies: Quantitative puzzles; citation_author=S Elmiger; citation_volume=68; citation_issue=3; citation_publication_date=2019; citation_pages=643-667; citation_doi=10.1007/s00199-018-1137-5; citation_id=CR65
Elsevier. 2023. What is and how to write a good hypothesis in research?, Author services.
https://scientific-publishing.webshop.elsevier.com/manuscript-preparation/what-how-write-good-hypothesis-research/
, Accessed 24 March 2023.
citation_journal_title=Journal of International Financial Markets, Institutions and Money; citation_title=Financial globalization and stock market risk; citation_author=OA Esqueda, TA Assefa, AV Mollick; citation_volume=22; citation_issue=1; citation_publication_date=2012; citation_pages=87-102; citation_doi=10.1016/j.intfin.2011.07.006; citation_id=CR68
citation_journal_title=Emerging Markets Review; citation_title=Systematic risk in emerging markets: The D-CAPM; citation_author=J Estrada; citation_volume=3; citation_issue=4; citation_publication_date=2002; citation_pages=365-379; citation_doi=10.1016/S1566-0141(02)00042-0; citation_id=CR69
citation_journal_title=Journal of Financial and Quantitative Analysis; citation_title=Beta as a Random Coefficient; citation_author=F Fabozzi, JC Francis; citation_volume=13; citation_issue=1; citation_publication_date=1978; citation_pages=101-116; citation_doi=10.2307/2330525; citation_id=CR70
citation_journal_title=Finance Research Letters; citation_title=Does the corporate bond market overvalue bonds of sin companies?; citation_author=FJ Fabozzi; citation_volume=28; citation_publication_date=2019; citation_pages=165-170; citation_doi=10.1016/j.frl.2018.04.018; citation_id=CR71
citation_journal_title=Journal of Portfolio Management; citation_title=Sin stock returns; citation_author=FJ Fabozzi, KC Ma, BJ Oliphant; citation_volume=35; citation_issue=1; citation_publication_date=2008; citation_pages=82-94; citation_doi=10.3905/JPM.2008.35.1.82; citation_id=CR72
citation_journal_title=Financial Review; citation_title=An international investigation of the factors that determine conditional gold betas; citation_author=R Faff, D Hillier; citation_volume=39; citation_issue=3; citation_publication_date=2004; citation_pages=473-488; citation_doi=10.1111/j.0732-8516.2004.00085.x; citation_id=CR73
citation_journal_title=International Journal of Accounting & Information Management; citation_title=An examination of Australian gold mining firms’ exposure over the collapse of gold price in the late 1990s; citation_author=V Fang, C-T Lin, W Poon; citation_volume=15; citation_issue=2; citation_publication_date=2007; citation_pages=37-49; citation_doi=10.1108/18347640710837344; citation_id=CR74
citation_journal_title=Pattern Recognition Letters; citation_title=An introduction to ROC analysis; citation_author=T Fawcett; citation_volume=27; citation_issue=8; citation_publication_date=2006; citation_pages=861-874; citation_doi=10.1016/j.patrec.2005.10.010; citation_id=CR75
citation_journal_title=European Journal of Finance; citation_title=Is there a risk and return relation?; citation_author=SGM Fifield, DG McMillan, FJ McMillan; citation_volume=26; citation_issue=11; citation_publication_date=2020; citation_pages=1075-1101; citation_doi=10.1080/1351847X.2020.1724551; citation_id=CR76
citation_journal_title=International Review of Financial Analysis; citation_title=On the conditional relationship between beta and return in international stock returns; citation_author=J Fletcher; citation_volume=9; citation_issue=3; citation_publication_date=2000; citation_pages=235-245; citation_doi=10.1016/S1057-5219(00)00030-2; citation_id=CR77
citation_journal_title=Pattern Recognition Letters; citation_title=Variable selection using random forests; citation_author=R Genuer, J-M Poggi, C Tuleau-Malot; citation_volume=31; citation_issue=14; citation_publication_date=2010; citation_pages=2225-2236; citation_doi=10.1016/j.patrec.2010.03.014; citation_id=CR78
citation_journal_title=The Journal of Portfolio Management; citation_title=Foundations of ESG investing: How ESG affects equity valuation, risk, and performance; citation_author=G Giese; citation_volume=45; citation_issue=5; citation_publication_date=2019; citation_pages=69; citation_doi=10.3905/jpm.2019.45.5.069; citation_id=CR79
citation_journal_title=Journal of Portfolio Management; citation_title=Better betas; citation_author=LR Goldberg; citation_volume=47; citation_issue=1; citation_publication_date=2020; citation_pages=119-136; citation_doi=10.3905/jpm.2020.47.1.119; citation_id=CR80
citation_journal_title=Journal of Financial and Quantitative Analysis; citation_title=The cross section of expected returns with MIDAS betas; citation_author=M González, J Nave, G Rubio; citation_volume=47; citation_issue=1; citation_publication_date=2012; citation_pages=115-135; citation_doi=10.1017/S0022109011000603; citation_id=CR81
citation_journal_title=Journal of Empirical Finance; citation_title=Macroeconomic determinants of stock market betas; citation_author=M González, J Nave, G Rubio; citation_volume=45; citation_publication_date=2018; citation_pages=26-44; citation_doi=10.1016/j.jempfin.2017.10.003; citation_id=CR82
citation_journal_title=International Review of Financial Analysis; citation_title=Stock market risk in the financial crisis; citation_author=PA Grout, A Zalewska; citation_volume=46; citation_publication_date=2016; citation_pages=326-345; citation_doi=10.1016/j.irfa.2015.11.012; citation_id=CR83
Guenster, N. 2012. Performance Implications of SR investing: past versus future. In Socially responsible finance and investing: Financial institutions, corporations, investors, and activists, ed. H.K. Baker and J.R. Nofsinger: 443–454. Hoboken: Wiley (Robert W. Kolb Series).
Guidolin, M. 2009. Regime shifts in empirical pricing kernels: A mixture CAPM. Unpublished manuscript.
http://www.cireqmontreal.com/wp-content/uploads/2009/10/09-10guidolin.pdf
. Accessed 29 Sept 2022.
citation_journal_title=Financial Markets and Portfolio Management; citation_title=Why not use SDF rather than beta models in performance measurement?; citation_author=J Gusset, H Zimmermann; citation_volume=28; citation_issue=4; citation_publication_date=2014; citation_pages=307-336; citation_doi=10.1007/s11408-014-0235-z; citation_id=CR86
citation_journal_title=Contemporary Accounting Research; citation_title=Equity systematic risk (beta) and its determinants; citation_author=H Gwangheon, S Sarkar; citation_volume=24; citation_issue=2; citation_publication_date=2007; citation_pages=423-466; citation_doi=10.1506/8187-56KM-6511-Q532; citation_id=CR87
Hapfelmeier, A. 2012. Analysis of Missing Data with Random Forests. Doctoral dissertation. Institut für Statistik an der Fakultät für Mathematik, Informatik und Statistik der Ludwig–Maximilians–Universität München.
citation_journal_title=Journal of Applied Business Research; citation_title=Time-varying beta and the subprime financial crisis: Evidence from U.S. industrial sectors; citation_author=H Hasnaoui, I Fatnassi; citation_volume=30; citation_issue=5; citation_publication_date=2014; citation_pages=1465-1476; citation_doi=10.19030/jabr.v30i5.8799; citation_id=CR89
citation_journal_title=Business Ethics; citation_title=The effects of Shariah board composition on Islamic equity indices’ performance; citation_author=MK Hassan; citation_volume=27; citation_issue=3; citation_publication_date=2018; citation_pages=248-259; citation_doi=10.1111/beer.12185; citation_id=CR90
citation_title=The elements of statistical learning: Data mining, inference, and prediction; citation_publication_date=2013; citation_id=CR91; citation_author=T Hastie; citation_author=R Tibshirani; citation_author=J Friedman; citation_publisher=Springer
Hirst, S. 2017. Social Responsibility Resolutions, SSRN Electronic Journal.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2773367
. Accessed 29 Sept 2022.
Ho, T.K. 1995. Random decision forests. In Proceedings of the 3rd International Conference on Document Analysis and Recognition, Montreal, Canada. IEEE Computer Society: 278–282.
citation_journal_title=Critical Finance Review; citation_title=Do the LCAPM predictions hold? Replication and extension evidence; citation_author=CW Holden, J Nam; citation_volume=8; citation_issue=1–2; citation_publication_date=2019; citation_pages=29-71; citation_doi=10.1561/104.00000071; citation_id=CR94
Hollstein, F. 2020. Estimating beta: The international evidence. Journal of Banking and Finance 121.
citation_journal_title=European Journal of Finance; citation_title=The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process; citation_author=KJ Hong, S Satchell; citation_volume=20; citation_issue=3; citation_publication_date=2014; citation_pages=264-290; citation_doi=10.1080/1351847X.2012.698992; citation_id=CR96
citation_journal_title=Journal of Finance; citation_title=Speculative Betas; citation_author=H Hong, DA Sraer; citation_volume=71; citation_issue=5; citation_publication_date=2016; citation_pages=2095-2144; citation_doi=10.1111/jofi.12431; citation_id=CR97
citation_journal_title=Journal of Financial and Quantitative Analysis; citation_title=Climate change news risk and corporate bond returns; citation_author=TD Huynh, Y Xia; citation_volume=56; citation_issue=6; citation_publication_date=2021; citation_pages=1985-2009; citation_doi=10.1017/S0022109020000757; citation_id=CR98
citation_journal_title=International Review of Finance; citation_title=The beta anomaly in the Japanese equity market and investor behavior; citation_author=S Iwasawa, T Uchiyama; citation_volume=14; citation_issue=1; citation_publication_date=2014; citation_pages=53-73; citation_doi=10.1111/irfi.12023; citation_id=CR99
citation_journal_title=The Journal of Portfolio Management; citation_title=Smart Beta versus Smart Alpha; citation_author=B Jacobs, K Levy; citation_volume=40; citation_publication_date=2014; citation_pages=4-7; citation_doi=10.3905/jpm.2014.40.4.004; citation_id=CR100
citation_journal_title=Journal of Portfolio Management; citation_title=The alpha, beta, and sigma of esg: Better beta, additional alpha?; citation_author=B Jacobsen, W Lee, C Ma; citation_volume=45; citation_issue=6; citation_publication_date=2019; citation_pages=6-15; citation_doi=10.3905/jpm.2019.1.091; citation_id=CR101
citation_journal_title=Journal of Finance; citation_title=The conditional CAPM and the cross-section of expected returns; citation_author=R Jagannathan, Z Wang; citation_volume=51; citation_issue=1; citation_publication_date=1996; citation_pages=3-53; citation_doi=10.1111/j.1540-6261.1996.tb05201.x; citation_id=CR102
citation_journal_title=PLoS ONE; citation_title=On the overestimation of random forest’s out-of-bag error; citation_author=S Janitza, R Hornung; citation_volume=13; citation_issue=8; citation_publication_date=2008; citation_pages=e0201904; citation_doi=10.1371/journal.pone.0201904; citation_id=CR103
citation_journal_title=Investment Management and Financial Innovations; citation_title=The relationship between return, price to earnings ratio, price to book value ratio, size and beta in different data period; citation_author=DP Jatmiko; citation_volume=12; citation_issue=1; citation_publication_date=2015; citation_pages=47-59; citation_id=CR104
citation_journal_title=The Journal of Finance; citation_title=The performance of mutual funds in the period 1945–1964; citation_author=MC Jensen; citation_volume=23; citation_issue=2; citation_publication_date=1968; citation_pages=389-416; citation_doi=10.1111/j.1540-6261.1968.tb00815.x; citation_id=CR105
Jin, I. 2018. Is ESG a systematic risk factor for US equity mutual funds?. Journal of Sustainable Finance & Investment 8.
citation_journal_title=The Review of Economic Studies; citation_title=Marginal productivity and the macro-economic theories of distribution: Comment on Samuelson and Modigliani; citation_author=N Kaldor; citation_volume=33; citation_issue=4; citation_publication_date=1966; citation_pages=309-319; citation_doi=10.2307/2974428; citation_id=CR107
citation_journal_title=International Journal of Accounting and Information Management; citation_title=Does voluntary corporate citizenship pay? An examination of the UN Global Compact; citation_author=MB Kimbro, Z Cao; citation_volume=19; citation_issue=3; citation_publication_date=2011; citation_pages=288-303; citation_doi=10.1108/18347641111169278; citation_id=CR108
citation_journal_title=Economics Letters; citation_title=Shareholder activism and equity price reactions; citation_author=T King, K Bozos, D Koutmos; citation_volume=160; citation_publication_date=2017; citation_pages=100-104; citation_doi=10.1016/j.econlet.2017.09.012; citation_id=CR109
citation_journal_title=Financial Review; citation_title=Markov chains and regression toward the mean; citation_author=RW Kolb, RJ Rodriguez; citation_volume=26; citation_issue=1; citation_publication_date=1991; citation_pages=115-125; citation_doi=10.1111/j.1540-6288.1991.tb00373.x; citation_id=CR110
citation_journal_title=Journal of Finance; citation_title=The WACC fallacy: The real effects of using a unique discount rate; citation_author=P Krüger, A Landier, D Thesmar; citation_volume=70; citation_issue=3; citation_publication_date=2015; citation_pages=1253-1285; citation_doi=10.1111/jofi.12250; citation_id=CR111
citation_journal_title=Contemporary Economics; citation_title=Does beta explain global equity market volatility—Some empirical evidence; citation_author=R Kurach; citation_volume=7; citation_issue=2; citation_publication_date=2013; citation_pages=55-66; citation_doi=10.5709/ce.1897-9254.82; citation_id=CR112
citation_journal_title=Journal of Financial and Quantitative Analysis; citation_title=Robust measurement of beta risk; citation_author=J Lakonishok, LK Chan; citation_volume=27; citation_issue=2; citation_publication_date=1992; citation_pages=265-282; citation_doi=10.2307/2331371; citation_id=CR113
citation_journal_title=Financial Review; citation_title=An examination of blume and vasicek betas; citation_author=M Lally; citation_volume=33; citation_issue=3; citation_publication_date=1998; citation_pages=183-198; citation_doi=10.1111/j.1540-6288.1998.tb01390.x; citation_id=CR114
citation_journal_title=Finance Research Letters; citation_title=The mispricing of socially ambiguous grey stocks; citation_author=S-S Lam, W Zhang, GH Jacob; citation_volume=13; citation_publication_date=2015; citation_pages=81-89; citation_doi=10.1016/j.frl.2015.02.010; citation_id=CR115
citation_journal_title=The Journal of Finance; citation_title=The market reaction to stock splits; citation_author=CG Lamoureux, P Poon; citation_volume=42; citation_issue=5; citation_publication_date=1987; citation_pages=1347-1370; citation_doi=10.1111/j.1540-6261.1987.tb04370.x; citation_id=CR116
citation_journal_title=Fuzzy Economic Review; citation_title=Analysis of beta coefficients in the Brazilian stock market using fuzzy linear regression methodology; citation_author=Y Laumann; citation_volume=20; citation_issue=2; citation_publication_date=2015; citation_pages=3-17; citation_doi=10.25102/fer.2015.02.01; citation_id=CR117
citation_journal_title=International Journal of Managerial Finance; citation_title=The precision of asset beta estimates; citation_author=V Lesseig, JD Payne; citation_volume=13; citation_issue=2; citation_publication_date=2017; citation_pages=213-224; citation_doi=10.1108/IJMF-05-2016-0091; citation_id=CR118
citation_journal_title=Journal of Financial Economics; citation_title=The conditional CAPM does not explain asset-pricing anomalies; citation_author=J Lewellen, S Nagel; citation_volume=82; citation_issue=2; citation_publication_date=2006; citation_pages=289-314; citation_doi=10.1016/j.jfineco.2005.05.012; citation_id=CR120
citation_journal_title=Applied Economics Letters; citation_title=Global industry betas; citation_author=F Lie, R Faff; citation_volume=10; citation_issue=1; citation_publication_date=2003; citation_pages=21-26; citation_doi=10.1080/13504850210167197; citation_id=CR121
citation_journal_title=The Review of Economics and Statistics; citation_title=The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets; citation_author=JV Lintner; citation_volume=47; citation_issue=1; citation_publication_date=1965; citation_pages=13-37; citation_doi=10.2307/1924119; citation_id=CR122
citation_journal_title=Finance Research Letters; citation_title=Sorting out the financials: Making economic sense out of statistical factors; citation_author=I Lončarski, L Vidovič; citation_volume=31; citation_publication_date=2019; citation_pages=110-118; citation_doi=10.1016/j.frl.2019.04.009; citation_id=CR123
citation_journal_title=Journal of Economics and Finance; citation_title=The impact of option listing on the price volatility and trading volume of underlying OTC stocks; citation_author=DM Long, MD Schinski, DT Officer; citation_volume=18; citation_issue=1; citation_publication_date=1994; citation_pages=89-100; citation_doi=10.1007/BF02920225; citation_id=CR124
citation_journal_title=Journal of Financial Economics; citation_title=Bear beta; citation_author=Z Lu, S Murray; citation_volume=131; citation_issue=3; citation_publication_date=2019; citation_pages=736-760; citation_doi=10.1016/j.jfineco.2018.09.006; citation_id=CR125
citation_journal_title=Investment Management and Financial Innovations; citation_title=Forecasting β: An evaluation of the Bloomberg heuristic; citation_author=EJ Lusk, H Koulayan; citation_volume=4; citation_issue=1; citation_publication_date=2007; citation_pages=56-60; citation_id=CR126
citation_journal_title=Global Finance Journal; citation_title=Factors affecting returns across stock markets; citation_author=J Madura, AL Tucker, M Wiley; citation_volume=8; citation_issue=1; citation_publication_date=1997; citation_pages=1-14; citation_doi=10.1016/S1044-0283(97)90002-8; citation_id=CR127
citation_journal_title=Journal of Financial Economics; citation_title=Non-myopic betas; citation_author=S Malamud, G Vilkov; citation_volume=129; citation_issue=2; citation_publication_date=2018; citation_pages=357-381; citation_doi=10.1016/j.jfineco.2018.05.004; citation_id=CR128
citation_journal_title=Journal of Portfolio Management; citation_title=Is smart beta really smart?; citation_author=BG Malkiel; citation_volume=40; citation_issue=5; citation_publication_date=2014; citation_pages=127-134; citation_doi=10.3905/jpm.2014.40.5.127; citation_id=CR129
citation_journal_title=The Journal of Finance; citation_title=Portfolio selection; citation_author=H Markowitz; citation_volume=7; citation_issue=1; citation_publication_date=1952; citation_pages=77-91; citation_id=CR130
citation_journal_title=Financial Analysts Journal; citation_title=Outlier-resistant estimates of beta; citation_author=RD Martin, TT Simin; citation_volume=59; citation_issue=5; citation_publication_date=2003; citation_pages=56-69; citation_doi=10.2469/faj.v59.n5.2564; citation_id=CR131
citation_journal_title=Economic Modelling; citation_title=Wine indices in practice: Nicely labeled but slightly corked; citation_author=P Masset, J-P Weisskopf; citation_volume=68; citation_publication_date=2018; citation_pages=555-569; citation_doi=10.1016/j.econmod.2017.03.025; citation_id=CR132
citation_journal_title=Scientific Studies of Reading; citation_title=The Random Forests statistical technique: An examination of its value for the study of reading; citation_author=K Matsuki, V Kuperman, JA Dyke; citation_volume=20; citation_issue=1; citation_publication_date=2016; citation_pages=20-33; citation_doi=10.1080/10888438.2015.1107073; citation_id=CR133
McLaren, D. 2002. Corporate engagement by “socially responsible” investors: A practical paradigm for stakeholder governance? Cambridge: Judge Institute of Management (Essays).
citation_journal_title=Economic Modelling; citation_title=The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors; citation_author=BD McNevin, J Nix; citation_volume=68; citation_publication_date=2018; citation_pages=570-585; citation_doi=10.1016/j.econmod.2017.03.024; citation_id=CR135
citation_journal_title=Econometrica; citation_title=An intertemporal capital asset pricing model; citation_author=RC Merton; citation_volume=41; citation_issue=5; citation_publication_date=1973; citation_pages=867-887; citation_doi=10.2307/1913811; citation_id=CR136
Ming Chen, J. 2016 Postmodern portfolio theory: Navigating abnormal markets and investor behavior. New York: Palgrave Macmillan (Quantitative perspectives on behavioral economics and finance).
citation_journal_title=Investment Management and Financial Innovations; citation_title=Backdated stock options: Crosscurrents from GAAP to the capital markets; citation_author=RA Moellenberndt, JA Martin; citation_volume=4; citation_issue=4; citation_publication_date=2007; citation_pages=159-173; citation_id=CR139
citation_journal_title=Econometrica; citation_title=Equilibrium in a capital asset market; citation_author=J Mossin; citation_volume=34; citation_issue=4; citation_publication_date=1966; citation_pages=768-783; citation_doi=10.2307/1910098; citation_id=CR140
citation_journal_title=Journal of Open Innovation: Technology, Market, and Complexity; citation_title=The effect of marketing investment on firm value and systematic risk; citation_author=M Mousa; citation_volume=7; citation_issue=1; citation_publication_date=2021; citation_pages=1-17; citation_doi=10.3390/joitmc7010064; citation_id=CR141
citation_journal_title=Insurance: Mathematics and Economics; citation_title=CAPM with fuzzy returns and hypothesis testing; citation_author=AM Moussa; citation_volume=55; citation_publication_date=2014; citation_pages=40-57; citation_id=CR142
Moy, B., and M. Comstock. 2017. ESG Reports and Ratings: What They Are, Why They Matter.
https://corpgov.law.harvard.edu/2017/07/27/esg-reports-and-ratings-what-they-are-why-they-matter/
. Accessed 29 Sept 2022.
citation_journal_title=Journal of Transportation Engineering, Part B: Pavements; citation_title=Role of data analytics in infrastructure asset management: Overcoming data size and quality problems; citation_author=SM Piryonesi, TE El-Diraby; citation_volume=146; citation_issue=2; citation_publication_date=2020; citation_pages=4020022; citation_id=CR144
citation_journal_title=Japanese Economic Review; citation_title=Human-capital-adjusted capital asset pricing model; citation_author=J Qin; citation_volume=53; citation_issue=2; citation_publication_date=2002; citation_pages=182-198; citation_doi=10.1111/1468-5876.00018; citation_id=CR145
citation_journal_title=International Journal of the Economics of Business; citation_title=Firm characteristics as determinants of capital structures in Australia; citation_author=M Qiu, B La; citation_volume=17; citation_issue=3; citation_publication_date=2010; citation_pages=277-287; citation_doi=10.1080/13571516.2010.513810; citation_id=CR146
Reif, D. et al. 2006. Feature Selection using a Random Forests Classifier for the Integrated Analysis of Multiple Data Types. In Proceedings of the 2006 IEEE Symposium on Computational Intelligence in Bioinformatics and Computational Biology. Ontario (CIBCB 2006): 1–8.
Renneboog, L., J.T. Horst and C. Zhang. 2012. Money-flows of Socially responsible investment funds around the world. In Socially Responsible Finance and Investing: Financial Institutions, Corporations, Investors, and Activists, ed. H.K. Baker and J.R. Nofsinger, 455–478. Hoboken: Wiley (Robert W. Kolb Series).
citation_journal_title=Journal of Finance; citation_title=Local return factors and turnover in emerging stock markets; citation_author=KG Rouwenhorst; citation_volume=54; citation_issue=4; citation_publication_date=1999; citation_pages=1439-1464; citation_doi=10.1111/0022-1082.00151; citation_id=CR149
citation_journal_title=Journal of Business Ethics; citation_title=The heterogeneity of socially responsible investment; citation_author=J Sandberg; citation_volume=87; citation_issue=4; citation_publication_date=2008; citation_pages=519; citation_doi=10.1007/s10551-008-9956-0; citation_id=CR150
citation_journal_title=Journal of Business Economics; citation_title=Impact of ESG factors on firm risk in Europe; citation_author=R Sassen, A-K Hinze, I Hardeck; citation_volume=86; citation_issue=8; citation_publication_date=2016; citation_pages=867-904; citation_doi=10.1007/s11573-016-0819-3; citation_id=CR151
citation_title=Comparing risk and performance for absolute and relative ESG scores: An empirical analysis using MSCI ESG scores; citation_publication_date=2020; citation_id=CR152; citation_author=A Sayani; citation_author=B Kaplan; citation_publisher=MSCI ESG Research
citation_journal_title=Review of Quantitative Finance and Accounting; citation_title=Determinants of market beta: The impacts of firm-specific accounting figures and market conditions; citation_author=T Schlueter, S Sievers; citation_volume=42; citation_issue=3; citation_publication_date=2014; citation_pages=535-570; citation_doi=10.1007/s11156-013-0352-1; citation_id=CR153
citation_journal_title=Humanomics; citation_title=An Islamic capital asset pricing model; citation_author=TH Selim; citation_volume=24; citation_issue=2; citation_publication_date=2008; citation_pages=122-129; citation_doi=10.1108/08288660810876831; citation_id=CR154
citation_journal_title=Review of Quantitative Finance and Accounting; citation_title=Estimating beta; citation_author=H Shalit, S Yitzhaki; citation_volume=18; citation_issue=2; citation_publication_date=2002; citation_pages=95-118; citation_doi=10.1023/A:1014594617251; citation_id=CR155
citation_journal_title=Journal of Empirical Finance; citation_title=Economic forces and the stock market revisited; citation_author=J Shanken, MI Weinstein; citation_volume=13; citation_issue=2; citation_publication_date=2006; citation_pages=129-144; citation_doi=10.1016/j.jempfin.2005.09.001; citation_id=CR156
citation_journal_title=The Journal of Portfolio Management; citation_title=The Sharpe ratio; citation_author=WF Sharpe; citation_volume=21; citation_issue=1; citation_publication_date=1994; citation_pages=49-58; citation_doi=10.3905/jpm.1994.409501; citation_id=CR157
citation_journal_title=Journal of Sustainable Finance & Investment; citation_title=The risk-adjusted return potential of integrating ESG strategies into emerging market equities; citation_author=MW Sherwood, JL Pollard; citation_volume=8; citation_issue=1; citation_publication_date=2018; citation_pages=26-44; citation_doi=10.1080/20430795.2017.1331118; citation_id=CR158
citation_journal_title=Journal of Behavioral Finance; citation_title=Anchoring-adjusted capital asset pricing model; citation_author=H Siddiqi; citation_volume=19; citation_issue=3; citation_publication_date=2018; citation_pages=249-270; citation_doi=10.1080/15427560.2018.1378218; citation_id=CR159
citation_journal_title=Journal of Accounting and Economics; citation_title=A comparison of the financial characteristics of December and non-December year-end companies; citation_author=DB Smith, S Pourciau; citation_volume=10; citation_issue=4; citation_publication_date=1988; citation_pages=335-344; citation_doi=10.1016/0165-4101(88)90008-0; citation_id=CR160
citation_journal_title=Risk Analysis; citation_title=The inverse relation between risks and benefits: The role of affect and expertise; citation_author=J Sokolowska, P Sleboda; citation_volume=35; citation_issue=7; citation_publication_date=2015; citation_pages=1252-1267; citation_doi=10.1111/risa.12346; citation_id=CR161
citation_journal_title=Journal of Economic Theory; citation_title=An equilibrium model of the international capital market; citation_author=BH Solnik; citation_volume=8; citation_issue=4; citation_publication_date=1974; citation_pages=500-524; citation_doi=10.1016/0022-0531(74)90024-6; citation_id=CR162
citation_journal_title=The Journal of Investing; citation_title=Performance measurement in a downside risk framework; citation_author=FA Sortino, LN Price; citation_volume=3; citation_issue=3; citation_publication_date=1994; citation_pages=59-64; citation_doi=10.3905/joi.3.3.59; citation_id=CR163
citation_journal_title=Journal of Business Ethics; citation_title=The maturing of socially responsible investment: A review of the developing link with corporate social responsibility; citation_author=R Sparkes, CJ Cowton; citation_volume=52; citation_issue=1; citation_publication_date=2004; citation_pages=45-57; citation_doi=10.1023/B:BUSI.0000033106.43260.99; citation_id=CR164
citation_journal_title=Journal of Financial Economics; citation_title=A model of international asset pricing; citation_author=RenéM Stulz; citation_volume=9; citation_issue=4; citation_publication_date=1981; citation_pages=383-406; citation_doi=10.1016/0304-405X(81)90005-2; citation_id=CR165
citation_journal_title=Journal of Econometrics; citation_title=Dangers of data mining: The case of calendar effects in stock returns; citation_author=R Sullivan, A Timmermann, H White; citation_volume=105; citation_issue=1; citation_publication_date=2001; citation_pages=249-286; citation_doi=10.1016/S0304-4076(01)00077-X; citation_id=CR166
citation_journal_title=Journal of Chemical Information and Modeling; citation_title=Random Forest: A classification and regression tool for compound classification and QSAR modeling; citation_author=V Svetnik; citation_volume=43; citation_issue=6; citation_publication_date=2003; citation_pages=1947-1958; citation_id=CR167
citation_journal_title=International Business Review; citation_title=The conditional relationship between beta and returns: Recent evidence from international stock markets; citation_author=GYN Tang, WC Shum; citation_volume=12; citation_issue=1; citation_publication_date=2003; citation_pages=109-126; citation_doi=10.1016/S0969-5931(02)00090-2; citation_id=CR169
Treynor, J.L. 1962. Toward a theory of market value of risky assets. Unpublished manuscript.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=628187
. Accessed 29 Sept 2022.
Tukey, J.W. 1977. Exploratory data analysis. Reading: Addison-Wesley (Addison-Wesley series in behavioral sciences: Quantitative methods).
citation_journal_title=An Asian Perspective. Business Ethics; citation_title=Are environmental social governance equity indices a better choice for investors?; citation_author=R Ur Rehman; citation_volume=25; citation_issue=4; citation_publication_date=2016; citation_pages=440-459; citation_id=CR172
Vasconcelos, V.D., M. de Souza Ribeiro, and F. Guasti Lima. 2021. Environmental, social and governance (ESG) and systematic risk: The moderating effect of environmental innovation and analyst coverage. in XXII Encontro Internacional sobre Gestão Empresarial e Meio Ambiente da FEA/USP.
citation_journal_title=International Review of Financial Analysis; citation_title=A conditional regime switching CAPM; citation_author=V Vendrame, C Guermat, J Tucker; citation_volume=56; citation_publication_date=2018; citation_pages=1-11; citation_doi=10.1016/j.irfa.2017.12.001; citation_id=CR174
citation_journal_title=Financial Analysts Journal; citation_title=The myth of the absolute-return investor; citation_author=MB Waring, LB Siegel; citation_volume=62; citation_issue=2; citation_publication_date=2006; citation_pages=14-21; citation_doi=10.2469/faj.v62.n2.4080; citation_id=CR175
citation_journal_title=The Journal of Finance; citation_title=An asset-pricing theory unifying the CAPM and APT; citation_author=KCJ Wei; citation_volume=43; citation_issue=4; citation_publication_date=1988; citation_pages=881-892; citation_doi=10.1111/j.1540-6261.1988.tb02610.x; citation_id=CR176
citation_journal_title=Finance Research Letters; citation_title=Breaking bad: An investment in cannabis; citation_author=J-P Weisskopf; citation_volume=33; citation_publication_date=2020; citation_pages=101201; citation_doi=10.1016/j.frl.2019.05.019; citation_id=CR177
citation_journal_title=Journal of Financial and Quantitative Analysis; citation_title=Beta Changes around Stock Splits Revisited; citation_author=JB Wiggins; citation_volume=27; citation_issue=4; citation_publication_date=1992; citation_pages=631-640; citation_doi=10.2307/2331145; citation_id=CR178
citation_journal_title=Mathematics and Computers in Simulation; citation_title=Mapping the Presidential Election Cycle in US stock markets; citation_author=W-K Wong, M McAleer; citation_volume=79; citation_issue=11; citation_publication_date=2009; citation_pages=3267-3277; citation_doi=10.1016/j.matcom.2009.05.007; citation_id=CR179
citation_journal_title=International Review of Economics and Finance; citation_title=Do realized betas exhibit up/down market tendencies?; citation_author=G Woodward, R Brooks; citation_volume=18; citation_issue=3; citation_publication_date=2009; citation_pages=511-519; citation_doi=10.1016/j.iref.2008.05.001; citation_id=CR180