Search Results - "Petkova, Ralitsa"

Do the Fama-French Factors Proxy for Innovations in Predictive Variables? by PETKOVA, RALITSA

“…The Fama-French factors HML and SMB are correlated with innovations in variables that describe investment opportunities. A model that includes shocks to the…”
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Extrapolative beliefs about Bitcoin returns by Petkova, Ralitsa

“…Using survey data from Sentix which records whether investors are bullish, bearish, or neutral about the future price of Bitcoin, we examine how investors form…”
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Does Idiosyncratic Volatility Proxy for Risk Exposure? by Chen, Zhanhui, Petkova, Ralitsa

“…We decompose aggregate market variance into an average correlation component and an average variance component. Only the latter commands a negative price of…”
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Is value riskier than growth? by Petkova, Ralitsa, Zhang, Lu

“…We study the relative risk of value and growth stocks. We find that time-varying risk goes in the right direction in explaining the value premium. Value betas…”
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The expected value premium by Chen, Long, Petkova, Ralitsa, Zhang, Lu

“…Fama and French [2002. The equity premium. Journal of Finance 57, 637–659] estimate the equity premium using dividend growth rates to measure expected rates of…”
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Correlation risk by Krishnan, C.N.V., Petkova, Ralitsa, Ritchken, Peter

“…Investors hold portfolios of assets with different risk-reward profiles for diversification benefits. Conditional on the volatility of assets, diversification…”
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An empirical investigation of the book -to -market and size effects by Petkova, Ralitsa Grigorova

“…This paper consists of two essays. This first essay shows that the Fama-French factors HML and SMB are correlated with innovations in well-known variables that…”
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