Similar Search Results

Idiosyncratic volatility and stock returns : a cross country analysis

Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281

Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential...

Persistent link: https://www.econbiz.de/10003886161

Is volatility risk priced after all? : some disconfirming evidence

Loudon, Geoffrey F.; Rai, Alan M. - In: Applied financial economics 17 (2007) 4/6, pp. 357-368

Persistent link: https://www.econbiz.de/10003446031

Variation of interest-rate parity and its asymmetry on stock return in a jump-diffusion process

Chiou, Jer-shiou; Wu, Pei-shan; Lee, Mingchih - In: Applied financial economics 16 (2006) 17, pp. 1309-1316

Persistent link: https://www.econbiz.de/10003387430

Momentum in stock market returns : implications for risk premia on foreign currencies

Nitschka, Thomas - In: Applied financial economics 23 (2013) 7/9, pp. 551-560

Persistent link: https://www.econbiz.de/10009750714

Interactive effect of changes in the shape of the yield curve and conditional term spread on expected equity returns

Volkman, David A.; Maisondieu Laforge, Olivier J. P.; … - In: Applied financial economics 22 (2012) 16/18, pp. 1491-1500

Persistent link: https://www.econbiz.de/10009626045

Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange?

Waszczuk, Antonia - In: Applied financial economics 23 (2013) 19/21, pp. 1497-1508

Persistent link: https://www.econbiz.de/10010259376

Street-smart asset pricing

Asthana, Vinay - In: Applied financial economics 23 (2013) 16/18, pp. 1371-1381

Persistent link: https://www.econbiz.de/10010259428

Extreme returns in emerging stock markets : evidence of a MAX effect in South Korea

Nartea, Gilbert V.; Wu, Ji; Liu, Hong Tao - In: Applied financial economics 24 (2014) 4/6, pp. 425-435

Persistent link: https://www.econbiz.de/10010401960

High-yield versus investment-grade bonds : less risk and greater returns?

Li, Hsi-cheng; McCarthy, Joseph; Pantalone, Coleen C. - In: Applied financial economics 24 (2014) 19/21, pp. 1303-1312

Persistent link: https://www.econbiz.de/10010460175

Feedback trading and the behavioural ICAPM : multivariate evidence across international equity and bond markets

Dean, Warren G.; Faff, Robert W. - In: Applied financial economics 21 (2011) 22/24, pp. 1665-1678

Persistent link: https://www.econbiz.de/10009385058