Similar Search Results

Jensen, Christian Skov; Lando, David; Pedersen, Lasse Heje - In: Journal of financial economics 133 (2019) 1, pp. 154-174

Persistent link: https://www.econbiz.de/10012164075

Betting against beta

Frazzinia, Andrea; Pedersen, Lasse Heje - In: Journal of financial economics 111 (2014) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10010255547

Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns

Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor - In: Journal of financial economics 120 (2016) 3, pp. 464-490

Persistent link: https://www.econbiz.de/10011590229

Betting against correlation : testing theories of the low-risk effect

Asness, Cliff; Frazzini, Andrea; Gormsen, Niels; … - In: Journal of financial economics 135 (2020) 3, pp. 629-652

Persistent link: https://www.econbiz.de/10012543201

Risk and return : long-run relations, fractional cointegration, and return predictability

Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - In: Journal of financial economics 108 (2013) 2, pp. 409-424

Persistent link: https://www.econbiz.de/10009749332

Tail risk premia and return predictability

Bollerslev, Tim; Todorov, Viktor; Xu, Lai - In: Journal of financial economics 118 (2015) 1, pp. 113-134

Persistent link: https://www.econbiz.de/10011480379

Carry

Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225

Persistent link: https://www.econbiz.de/10011968803

The jump leverage risk premium

Bollerslev, Tim; Todorov, Viktor - In: Journal of financial economics 150 (2023) 3, pp. 1-20

Persistent link: https://www.econbiz.de/10014462640

Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

Andersen, Torben; Bollerslev, Tim; Frederiksen, Per; … - 2008

We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...

Persistent link: https://www.econbiz.de/10003742083

Realized semibetas : disentangling "good" and "bad" downside risks

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of financial economics 144 (2022) 1, pp. 227-246

Persistent link: https://www.econbiz.de/10013407090