Bibliography#
Andrew Ang. Asset management: A systematic approach to factor investing. Oxford University Press, 2014. URL: https://doi.org/10.1093/acprof:oso/9780199959327.001.0001.
David Blitz and Frank J Fabozzi. Sin stocks revisited: resolving the sin stock anomaly. The Journal of Portfolio Management, 44(1):105–111, 2017.
John C Cox, Stephen A Ross, and Mark Rubinstein. Option pricing: a simplified approach. Journal of Financial Economics, 7(3):229–263, 1979. URL: https://doi.org/10.1016/0304-405X(79)90015-1.
Ralph D'agostino and Egon S Pearson. Tests for departure from normality. empirical results for the distributions of b 2 and√ b. Biometrika, 60(3):613–622, 1973.
Harrison Hong and Marcin Kacperczyk. The price of sin: the effects of social norms on markets. Journal of financial economics, 93(1):15–36, 2009. URL: https://doi.org/10.1016/j.jfineco.2008.09.001.
M. Isichenko. Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage. Wiley, 2021. ISBN 9781119821328. URL: https://books.google.com/books?id=s8E5EAAAQBAJ.
Alok Kumar. Who gambles in the stock market? The Journal of Finance, 64(4):1889–1933, 2009. URL: https://doi.org/10.1111/j.1540-6261.2009.01483.x.
Lawrence M. Leemis and Jacquelyn T. McQueston. Univariate distribution relationships. The American Statistician, 62(1):45–53, 2008. URL: https://doi.org/10.1198/000313008X270448.
Robert C Merton. On estimating the expected return on the market: an exploratory investigation. Journal of Financial Economics, 8(4):323–361, 1980. URL: https://doi.org/10.1016/0304-405X(80)90007-0.
Melissa E. O'Neill. PCG: a family of simple fast space-efficient statistically good algorithms for random number generation. Technical Report HMC-CS-2014-0905, Harvey Mudd College, Claremont, CA, September 2014.
Samuel Sanford Shapiro and Martin B Wilk. An analysis of variance test for normality (complete samples). Biometrika, 52(3-4):591–611, 1965.
Ivo Welch and Amit Goyal. A comprehensive look at the empirical performance of equity premium prediction. The Review of Financial Studies, 21(4):1455–1508, 2008. URL: https://doi.org/10.1093/rfs/hhm014.