This research compares twelve different factor models in explaining variations in US sector
returns between Nov. 1989 and Feb. 2014 using the quantile regression approach …

This paper aims to study the potential effects of changes in international risk factors on
leading European construction companies' returns. The study is conducted on a sample …

Despite the strong growing popularity of Asset Pricing Models, it is difficult to estimate which
factor contributes significantly in explaining average excess portfolio returns particularly in …

This paper studies the sensitivity of share prices of Spanish companies included in the IBEX-
35 to changes in different explanatory variables, such as market returns, interest rates and …

Given the rising trend of sustainable investing over the recent years, we examine how ESG
ratings affect the performance, performance persistence and flow of new money European …

This paper studies in depth the sensitivity of Spanish companies' returns to changes in
several risk factors between January 2000 and December 2018 using the quantile …

This study investigates the relation between firm-specific attributes and future equity returns
in 23 emerging markets. Equal-weighted portfolio returns reveal strong evidence of short …

I explore the benefits of incorporating conditional higher moments in the international
portfolio allocation. The quantile-based conditional higher moments are robust to outliers …

Our empirical investigation reveals that the variance of foreign consumption is much higher
than the variance of domestic consumption growth for the domestic United States of America …

We investigate systematic factors driving stock returns and stock return predictability in
Japan. We find that dividend yield, cash-flow yield, and industrial production are systematic …