Andrew L. Detzel

Baylor University - Hankamer School of Business

Waco, TX 76798

United States

http://andrewdetzel.com

SCHOLARLY PAPERS

11

DOWNLOADS
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SSRN RANKINGS

Top 7,910

in Total Papers Downloads

11,660

TOTAL CITATIONS
Rank 5,702

SSRN RANKINGS

Top 5,702

in Total Papers Citations

115

Scholarly Papers (11)

1.

Learning and Predictability via Technical Analysis: Evidence from Bitcoin and Stocks with Hard-to-Value Fundamentals

Number of pages: 51 Posted: 13 Feb 2018 Last Revised: 31 Jan 2020
Andrew L. Detzel, Hong Liu, Jack Strauss, Guofu Zhou and Yingzi Zhu
Baylor University - Hankamer School of Business, Washington University in St. Louis - Olin Business School, University of Denver - Daniels College of Business, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 2,706 (10,477)
Citation 14

Abstract:

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Bitcoin, Cryptocurrency, Technical Analysis

2.

The Asset Pricing Implications of Government Economic Policy Uncertainty

Management Science 61(1), January 2015
Number of pages: 53 Posted: 04 Jun 2012 Last Revised: 18 Apr 2015
Jonathan Brogaard and Andrew L. Detzel
University of Utah - David Eccles School of Business and Baylor University - Hankamer School of Business
Downloads 2,574 (11,327)
Citation 82

Abstract:

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Political Uncertainty, Asset Pricing, Risk Premium

3.

The Volatility Puzzle of the Beta Anomaly

Journal of Financial Economics, volume 165, 2025[10.1016/j.jfineco.2025.103994]
Number of pages: 59 Posted: 12 Jul 2021 Last Revised: 03 Feb 2025
Pedro Barroso, Andrew L. Detzel and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics, Baylor University - Hankamer School of Business and Hanken School of Economics - Department of Finance and Statistics
Downloads 2,313 (13,424)
Citation 5

Abstract:

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Betting-against-beta, time-varying risk, realized volatility, risk factors, scaled factors, anomalies, lottery preferences, leverage constraints

4.

Model Comparison with Transaction Costs

Journal of Finance, Forthcoming, Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 77 Posted: 17 Mar 2021 Last Revised: 07 Nov 2022
Andrew L. Detzel, Robert Novy-Marx and Mihail Velikov
Baylor University - Hankamer School of Business, Simon Business School, University of Rochester and Pennsylvania State University - Smeal College of Business
Downloads 1,561 (24,867)

Abstract:

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Factor Models, Trading Costs, Mispricing

5.

The Cross-Section of Volatility and Expected Returns: Then and Now

Number of pages: 51 Posted: 26 Sep 2019
Baylor University - Hankamer School of Business, Rice University - Jesse H. Jones Graduate School of Business, University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business and Wealthfront, Inc.
Downloads 790 (65,715)
Citation 7

Abstract:

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Volatility risk, idiosyncratic risk, cross-section of returns, limits to arbitrage

6.

Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?

Journal of Financial Economics (JFE), Volume 140, Issue 3, June 2021, Pages 744-767
Number of pages: 40 Posted: 18 Dec 2017 Last Revised: 03 Jun 2021
Pedro Barroso and Andrew L. Detzel
CATÓLICA-LISBON School of Business & Economics and Baylor University - Hankamer School of Business
Downloads 668 (81,653)
Citation 2

Abstract:

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Volatility-managed portfolios, limits to arbitrage, anomalies

7.

There are Two Very Different Accruals Anomalies

Number of pages: 43 Posted: 15 Nov 2017
Andrew L. Detzel, Philipp D. Schaberl and Jack Strauss
Baylor University - Hankamer School of Business, University of Northern Colorado - Monfort College of Business and University of Denver - Daniels College of Business
Downloads 498 (118,066)

Abstract:

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Accruals Anomaly, Profitability, Real Investment, Cross-section of Stock Returns

8.

Monetary Policy Surprises, Investment Opportunities, and Asset Prices

Paris December 2015 Finance Meeting EUROFIDAI - AFFI, Journal of Financial Research, Forthcoming
Number of pages: 50 Posted: 11 Jan 2015 Last Revised: 31 Oct 2019
Andrew L. Detzel
Baylor University - Hankamer School of Business
Downloads 356 (174,053)
Citation 2

Abstract:

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Monetary Policy, Cross-section of Stock Returns, ICAPM

9.

Combination Return Forecasts and Portfolio Allocation with the Cross-Section of Book-to-Market Ratios

Review of Finance, Volume 22 Issue 5, August 2018
Number of pages: 64 Posted: 01 Jul 2016 Last Revised: 06 Jul 2021
Andrew L. Detzel and Jack Strauss
Baylor University - Hankamer School of Business and University of Denver - Daniels College of Business
Downloads 152 (397,516)
Citation 3

Abstract:

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Industry Return Predictability, Portfolio Allocation, Book-to-Market

The Dog Has Barked for a Long Time: Dividend Growth Is Predictable

Number of pages: 37 Posted: 06 Jun 2017
Andrew L. Detzel and Jack Strauss
Baylor University - Hankamer School of Business and University of Denver - Daniels College of Business
Downloads 42 (871,665)

Abstract:

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The Dog Has Barked for a Long Time: Dividend Growth Is Predictable

Posted: 16 Mar 2016 Last Revised: 05 Jul 2017
Andrew L. Detzel and Jack Strauss
Baylor University - Hankamer School of Business and University of Denver - Daniels College of Business

Abstract:

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Dividend growth, Return predictability

11.

Differences in Short-Term Performance Persistence by Mutual Fund Equity Class

Posted: 19 Apr 2014 Last Revised: 05 Jun 2018
Andrew L. Detzel and F. Detzel
Baylor University - Hankamer School of Business and California State University San Marcos

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Mutual Funds, Market Efficiency, Performance Persistence