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Equilibrium under uncertain inflation : a discrete time approach

Levy, Haim - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 3, pp. 285-297

Persistent link: https://www.econbiz.de/10001037500

The investment home bias with peer effect

Levy, Haim - In: Journal of risk and financial management : JRFM 13 (2020) 5/94, pp. 1-19

Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the Standard and Poor's 500 stock index (S&P 500 stock index) may...

Persistent link: https://www.econbiz.de/10012304869

The time-varying systematic risk of carry trade strategies

Christiansen, Charlotte; Ranaldo, Angelo; Söderlind, Paul - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 4, pp. 1107-1125

Persistent link: https://www.econbiz.de/10009516965

Quantile risk-return trade-off

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

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk … market portfolio. We find that the risk-return trade-off is significantly positive at the upper tail (0.9 quantile), where …, for the median (0.5 quantile), the risk-return trade-off is insignificant. These results are recovered for the US industry …

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

Is there an intertemporal relation between downside risk and expected returns?

Bali, Turan G.; Demirtas, K. Ozgur; Levy, Haim - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 4, pp. 883-909

Persistent link: https://www.econbiz.de/10003901202