Andrew L. Detzel

Baylor University - Hankamer School of Business

Waco, TX 76798

United States

http://andrewdetzel.com

  • Baylor University - Hankamer School of Business

SCHOLARLY PAPERS

11

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10,024

SSRN CITATIONS
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Top 6,614

in Total Papers Citations

226

CROSSREF CITATIONS

20

Scholarly Papers (11)

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1.

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 2,433 (10,282)
Citation 82

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Political Uncertainty, Asset Pricing, Risk Premium

2.

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 2,408 (10,469)
Citation 14

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Bitcoin, Cryptocurrency, Technical Analysis

3.

The Volatility Puzzle of the Beta Anomaly

Number of pages: 59 Posted: 12 Jul 2021 Last Revised: 06 Mar 2023
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 1,989 (14,262)
Citation 5

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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
Downloads 1,123 (33,712)

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
Andrew L. Detzel, Jefferson Duarte, Avraham Kamara, Stephan Siegel and Celine Sun
Baylor University - Hankamer School of Business, Rice University, University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business and Wealthfront, Inc.
Downloads 590 (80,170)
Citation 4

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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 560 (85,607)
Citation 2

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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 430 (117,800)

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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 343 (151,788)
Citation 2

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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 126 (381,753)
Citation 3

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

10.

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

Downloads 22 (863,901)

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 22 (891,665)

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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

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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