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German Mittelstand bonds : yield spreads and liquidity
Utz, Sebastian; Weber, Martina; Wimmer, Maximilian - In: Journal of business economics : JBE 86 (2016) 1/2, pp. 103-129
Persistent link: https://www.econbiz.de/10011666880
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Size matters everywhere : decomposing the small country and small industry premia
Zaremba, Adam; Umutlu, Mehmet - In: The North American journal of economics and finance : a … 43 (2018), pp. 1-18
Persistent link: https://www.econbiz.de/10012036250
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Decomposition of risk for small size and low book-to-market stocks
Kale, Arati; Kale, Devendra; Villupuram, Sriram - In: The journal of asset management : a major new, … 25 (2024) 1, pp. 96-112
Persistent link: https://www.econbiz.de/10014511607
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Measuring yields : arithmetic, geometric and horizon-consistent average
Dvořák, Michal - In: Prague economic papers : a bimonthly journal of … 25 (2016) 3, pp. 335-353
Persistent link: https://www.econbiz.de/10011535465
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An anatomy of global risk premiums
Boon, Ling-Ni; Ielpo, Florian - In: The journal of asset management 17 (2016) 4, pp. 229-243
Persistent link: https://www.econbiz.de/10011504216
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Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set
Sala, Carlo; Barone-Adesi, Giovanni - 2015
Supported by empirical examples, this paper provides a theoretical analysis on the impacts of using a suboptimal information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental theorems of asset pricing. While inferring the...
Persistent link: https://www.econbiz.de/10011506352
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Term structure of risk factor premiums used for pricing asset : emerging vs. developed markets
González Sánchez, Mariano - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 5, pp. 1339-1358
Persistent link: https://www.econbiz.de/10013167085
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A global-optimal portfolio theory beyond the R-σ model
Liua, Yifan; Liang, Shi-Dong - In: Frontiers of economics in China : selected publications … 15 (2020) 1, pp. 124-139
Persistent link: https://www.econbiz.de/10012227506
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Time-varying risk premium in large cross-sectional equity data sets
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 3, pp. 985-1046
Persistent link: https://www.econbiz.de/10011579614
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Revisiting the risk-return relation in the Chinese stock market : decomposition of risk premium and volatility feedback effect
Liu, Hao; Shen, Shihan; Wang, Tianyi; Huang, Zhuo - In: China economic journal : the official journal of the … 9 (2016) 2, pp. 140-153
Persistent link: https://www.econbiz.de/10011585334