Similar Search Results

What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets

Haab, David R.; Nitschka, Thomas - In: Swiss journal of economics and statistics 155 (2019) 16, pp. 1-17

Motivated by recent US evidence, we evaluate the predictive power of changes in the weight of large firms in the aggregate stock market ("Goliath vs David" (GVD)) for Swiss stock market returns and bond market returns. Previous research suggests that the asset return dynamics in the US and...

Persistent link: https://www.econbiz.de/10012137996

Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy

Nitschka, Thomas - In: Journal of international money and finance 83 (2018), pp. 44-54

Persistent link: https://www.econbiz.de/10012000302

Risk premia on Swiss government bonds and sectoral stock indexes during international crises

Nitschka, Thomas - In: Aussenwirtschaft : schweizerische Zeitschrift für … 67 (2016) 2, pp. 51-67

Persistent link: https://www.econbiz.de/10011603230

Currency excess returns and global downside market risk

Atanasov, Victoria; Nitschka, Thomas - In: Journal of international money and finance 47 (2014), pp. 268-285

Persistent link: https://www.econbiz.de/10010464017

Is there a too-big-to-fail discount in excess returns on German banks' stocks?

Nitschka, Thomas - In: International finance 19 (2016) 3, pp. 292-310

Persistent link: https://www.econbiz.de/10011713921

Firm size, economic risks, and the cross-section of international stock returns

Atanasov, Victoria; Nitschka, Thomas - In: The North American journal of economics and finance : a … 39 (2017), pp. 110-126

Persistent link: https://www.econbiz.de/10011878600

Equilibrium stock return dynamics under alternative rules of learning about hidden states

Brandt, Michael W.; Zeng, Qi; Zhang, Lu - In: Journal of economic dynamics & control 28 (2004) 10, pp. 1925-1954

Persistent link: https://www.econbiz.de/10002099538

Regime shifts, risk premiums in the term structure, and the business cycle

Bansal, Ravi; Tauchen, George Eugene; Zhou, Hao - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 396-409

Persistent link: https://www.econbiz.de/10002372889

Expected stock returns and variance risk premia

Bollerslev, Tim; Tauchen, George Eugene; Zhou, Hao - In: The review of financial studies 22 (2009) 11, pp. 4463-4492

Persistent link: https://www.econbiz.de/10003896321

Stochastic volatility in general equilibrium

Tauchen, George Eugene - In: The quarterly journal of finance 1 (2011) 4, pp. 707-731

Persistent link: https://www.econbiz.de/10009553957