108 citations · 435 across the 38 of their papers we have counts for
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q-fin.PR2013★ 2 cited
On pricing kernels, information and risk
D. L. Wilcox, T. J. Gebbie
We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theor…
q-fin.GN2013
Factorising equity returns in an emerging market through exogenous shocks and capital flows
Diane Wilcox, Tim Gebbie
A technique from stochastic portfolio theory [Fernholz, 1998] is applied to analyse equity returns of Small, Mid and Large cap portfolios in an emerging market through periods of g…