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Bond risk premia and realized jump risk

Wright, Jonathan H.; Zhou, Hao - In: Journal of banking & finance 33 (2009) 12, pp. 2333-2345

Persistent link: https://www.econbiz.de/10003905578

Local IPOs, local delistings, and the firm location premium

Baschieri, Giulia; Carosi, Andrea; Mengoli, Stefano - In: Journal of banking & finance 53 (2015), pp. 67-83

Persistent link: https://www.econbiz.de/10011377701

Credit default swap spreads and variance risk premia

Wang, Hao; Zhou, Hao; Zhou, Yi - In: Journal of banking & finance 37 (2013) 10, pp. 3733-3746

Persistent link: https://www.econbiz.de/10010126846

Why does higher variability of trading activity predict lower expected returns?

Barinov, Alexander - In: Journal of banking & finance 58 (2015), pp. 457-470

Persistent link: https://www.econbiz.de/10011544044

Stock return predictability and variance risk premia : statistical inference and international evidence

Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 633-661

Persistent link: https://www.econbiz.de/10010487089

Risk, Uncertainty, and Expected Returns

Bali, Turan G. - 2014

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, momentum, and industry portfolios indicate that the...

Persistent link: https://www.econbiz.de/10013066747

Risk, uncertainty, and expected returns

Bali, Turan G.; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 3, pp. 707-735

Persistent link: https://www.econbiz.de/10011610100