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A new approach to measuring riskiness in the equity market : implications for the risk premium

Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - In: Journal of banking & finance 57 (2015), pp. 101-117

Persistent link: https://www.econbiz.de/10011543805

Default risk and cross section of returns

Cakici, Nusret; Chatterjee, Sris; Chen, Ren-Raw - In: Journal of risk and financial management : JRFM 12 (2019) 2/95, pp. 1-15

Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...

Persistent link: https://www.econbiz.de/10012022028

The role of partisan conflict in forecasting the U.S. equity premium : a nonparametric approach

Gupta, Rangan; Muteba Mwamba, John; Wohar, Mark E. - In: Finance research letters 25 (2018), pp. 131-136

Persistent link: https://www.econbiz.de/10012003489

Geopolitical risks and stock market dynamics of the BRICS

Balcilar, Mehmet; Bonato, Matteo; Demirer, Rıza; … - In: Economic systems 42 (2018) 2, pp. 295-306

Persistent link: https://www.econbiz.de/10012125607

Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis

Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee - In: Finance research letters 18 (2016), pp. 291-296

Persistent link: https://www.econbiz.de/10011657223

Can economic uncertainty, financial stress and consumer sentiments predict US equity premium?

Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - In: Journal of international financial markets, … 33 (2014), pp. 367-378

Persistent link: https://www.econbiz.de/10011299816

The role of current account balance in forecasting the US equity premium : evidence from a quantile predictive regression approach

Gupta, Rangan; Majumdar, Anandamayee; Wohar, Mark E. - In: Open economies review 28 (2017) 1, pp. 47-59

Persistent link: https://www.econbiz.de/10011804281

Time-varying rare disaster risks, oil returns and volatility

Demirer, Rıza; Gupta, Rangan; Suleman, Tahir; Wohar, … - In: Energy economics 75 (2018), pp. 239-248

Persistent link: https://www.econbiz.de/10011974013

Tracking the evolution of idiosyncratic risk and cross-sectional expected returns for US REITs

Cakici, Nusret; Erol, Isil; Tırtıroğlu, Doğan - In: The journal of real estate finance and economics 48 (2014) 3, pp. 415-440

Persistent link: https://www.econbiz.de/10010402358

Does inequality help in forecasting equity premium in a panel of G7 countries?

Christou, Christina; Gupta, Rangan; Jawadi, Fredj - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012822273