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Cross-sectional stock return analysis using support vector regression

Liu, Jie; Hu, Zaixia; Tan, Shaohua - In: Applied economics letters 17 (2010) 1/3, pp. 71-74

Persistent link: https://www.econbiz.de/10003946039

Does speculation Granger cause return in Chinese commodity markets?

Hu, Weigang; Feng, Yun - In: Applied economics letters 23 (2016) 4/6, pp. 294-297

Persistent link: https://www.econbiz.de/10011430469

Stock returns and risk : evidence from quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58

major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess …

Persistent link: https://www.econbiz.de/10011555867

Revisiting the question : does corporate headquarters location matter for stock returns?

Moon, Kenneth P.; Lesage, James P. - In: Applied economics letters 18 (2011) 4/6, pp. 505-508

Persistent link: https://www.econbiz.de/10009232940

Optimal returns in Indian stock market during global pandemic : a comparative study

Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-13

This research is an extension of our previous work [Debnath and Srivastava (2021)]. In that paper, we designed a portfolio based on data taken from National Stock Exchange (NSE), India, during 1 January 2020 to 31 December 2020 and performance of that portfolio in real-life situation was...

Persistent link: https://www.econbiz.de/10012799165

Is there a pattern in how COVID-19 has affected Australia’s stock returns?

Narayan, Paresh Kumar; Gong, Qiang; Ali Ahmed, Huson Joher - In: Applied economics letters 29 (2022) 3, pp. 179-182

Persistent link: https://www.econbiz.de/10012803472

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

market portfolio. We find that the risk-return trade-off is significantly positive at the upper tail (0.9 quantile), where … portfolios and for Eurozone stock market portfolios. …

Persistent link: https://www.econbiz.de/10012587977

Optimizing stock market returns during global pandemic using regression in the context of Indian stock market

Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10

have become a periodic phenomenon over the last couple of years. Therefore, the study of the behavior of the stock market … as well as that of the investors becomes very interesting and crucial in this highly volatile and vulnerable market trend …-fitting techniques and shows that this model can encounter the market volatility efficiently in the context of the Indian stock market …

Persistent link: https://www.econbiz.de/10012627066

Exploring a three-factor dependence structure of conditional volatilities : some quantile regression evidence from real estate investment trusts

Liow, Kim Hiang - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-13

We propose a simple three-factor pricing model, consisting of a local stock market index, a global REIT market index …, and a global stock market index, to examine the dependence structure of conditional volatilities in the real estate … investment trust (REIT) market from 11 countries over the sample period from 1 June 2008 to 30 April 2021. The main quantile …

Persistent link: https://www.econbiz.de/10013273545

Hierarchical time-varying estimation of asset pricing models

Baillie, Richard; Calonaci, Fabio; Kapetanios, George - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-26

This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential Fama–MacBeth approach and developed in a kernel regression framework. However, the methodology uses a very flexible bandwidth selection...

Persistent link: https://www.econbiz.de/10012813375