A Capital Asset Pricing Model with Idiosyncratic Tail Risk: Comovement of Momentum and Low Risk Anomalies
Momentum and Low Risk Anomalies: The new model expands the traditional Capital Asset Pricing Model (CAPM) by factoring in idiosyncratic tail risk, explaining momentum in stock returns and low risk anomalies.
Featured in No. 31 on 3 Jan 2024 · 4 days after release · 1 citation today
- Released
- 30 Dec 2023
- First featured
- No. 31 · 3 Jan 2024
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4680248
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).