Kateryna Shapovalova

Université Paris I Panthéon-Sorbonne

17, rue de la Sorbonne

Paris, IL 75005

France

Paris School of Economics (PSE)

48 Boulevard Jourdan

Paris, 75014 75014

France

SCHOLARLY PAPERS

6

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1,489

SSRN CITATIONS

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CROSSREF CITATIONS

4

Scholarly Papers (6)

1.

Returns Premia on Company Fundamentals

Number of pages: 34 Posted: 27 Feb 2011
Kateryna Shapovalova, Alexander Subbotin and Thierry Chauveau
Université Paris I Panthéon-Sorbonne, Renaissance Finance and National Center for Scientific Research (CNRS)
Downloads 348 (123,690)
Citation 1

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Stock Returns, Company Fundamentals, Asset Pricing, Three-Factor Model, Style Momentum

2.

Value and Size Puzzles: A Commented Survey

Number of pages: 33 Posted: 27 Feb 2011
Kateryna Shapovalova and Alexander Subbotin
Université Paris I Panthéon-Sorbonne and Renaissance Finance
Downloads 316 (137,039)
Citation 4

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Stock Returns, Asset Pricing, Value Puzzle, Three-Factor Model, Company Fundamentals

3.

Volatility Models: From GARCH to Multi-Horizon Cascades

FINANCIAL MARKETS: RISK, VOLATILITY AND FUTURE, F. Columbus, ed., Nova Science Publishers, Forthcoming
Number of pages: 49 Posted: 16 Jun 2009
Alexander Subbotin, Thierry Chauveau and Kateryna Shapovalova
Renaissance Finance, National Center for Scientific Research (CNRS) and Université Paris I Panthéon-Sorbonne
Downloads 289 (150,539)

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Volatility modeling, GARCH, stochastic volatility, volatility cascade, multiple horizons in volatility

4.

Predicting Stock Returns in a Cross-Section: Do Individual Firm Characteristics Matter?

FINANCIAL MARKETS: RISK, VOLATILITY AND FUTURE, F. Columbus, ed., New York: Nova Science Publishers, Forthcoming
Number of pages: 20 Posted: 17 Jun 2009
Kateryna Shapovalova and Alexander Subbotin
Université Paris I Panthéon-Sorbonne and Renaissance Finance
Downloads 254 (171,373)

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accounting funadamentals, equity performance, style analysis, value and growth, cost of capital

5.

Style Investing: Benchmarks and Strategies

Number of pages: 31 Posted: 27 Feb 2011
Kateryna Shapovalova and Alexander Subbotin
Université Paris I Panthéon-Sorbonne and Renaissance Finance
Downloads 160 (260,091)

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6.

Are Value and Size Fundamentals Proxies for the Systematic Risk Factors?

Number of pages: 42 Posted: 27 Feb 2011
Kateryna Shapovalova, Alexander Subbotin and Thierry Chauveau
Université Paris I Panthéon-Sorbonne, Renaissance Finance and National Center for Scientific Research (CNRS)
Downloads 122 (321,009)
Citation 1

Abstract:

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Stock Returns, Asset Pricing, Value Puzzle, Three-Factor Model, Company Fundamentals