Fernando Perez

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Realized Semibetas and International Stock Return Predictability

Number of pages: 15 Posted: 02 Sep 2023 Last Revised: 18 Nov 2023
Wilfrid Laurier University, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, affiliation not provided to SSRN and Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
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Abstract:

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Downside risk, Semicovariances, Semibetas, Global and local risk, Cross-sectional return variation, Risk premium, Mexican stock market