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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - 2011
Persistent link: https://www.econbiz.de/10009406434
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland and the U …
Persistent link: https://www.econbiz.de/10013115149
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland and the U …
Persistent link: https://www.econbiz.de/10013109053
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Macro-finance and factor timing : time-varying factor risk and price of risk premiums
Souza, Thiago de Oliveira - 2019
Persistent link: https://www.econbiz.de/10012098285
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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market
Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13
estimates of the bivariate risk premia show bi-directional causality exist between the Australia and France Bond markets …. Overall results suggest nonexistence of pure rational expectation theory in the risk premium model. This information is useful …
Persistent link: https://www.econbiz.de/10012422545
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2011
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10013119324
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On the Risk Return Relationship
Wang, Jian-Xin - 2012
While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional … volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the …
Persistent link: https://www.econbiz.de/10013107127
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On the Risk Return Relationship
Yang, Minxian - 2012
While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional … volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the …
Persistent link: https://www.econbiz.de/10013107156
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Volatility Risk and the Value Premium : Evidence from the French Stock Market
Arısoy, Yakup Eser - 2016
predictions of rational asset pricing theory and support a ‘‘flight-to-quality” explanation …
Persistent link: https://www.econbiz.de/10013008746
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Empirical Test of Fama French Three Factor Model and Illiquidity Premium in Indonesia
Amanda, Citra - 2015
This study explores Fama French Three Factor Model and illiquidity premium in Indonesia. The objective of this research is to find evidence about the effect from market beta, size, value, and liquidity to the stock excess return in Indonesia. We use Amihud (2002) illiquidity as a proxy for...
Persistent link: https://www.econbiz.de/10013034180