Beta and size equity premia following a high-VIX threshold
Year of publication: |
2022
|
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Authors: | Bansal, Naresh K. ; Connolly, Robert A. ; Stivers, Christopher T. |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 8, p. 1491-1517
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Subject: | factor risk premia | intermediary asset pricing | nonlinear threshold risk-return relation | stochastic volatility asset pricing | stock market volatility | Risikoprämie | Risk premium | CAPM | Volatilität | Volatility | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Schätzung | Estimation | Betafaktor | Beta risk | Theorie | Theory | Risiko | Risk | Aktienmarkt | Stock market |
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