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The Joint Cross Section of Stocks and Options
An, Byeong-Je - 2013
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10013073570
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The Cross-Section of Volatility and Expected Returns
Ang, Andrew - 2010
We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we … find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we … find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average …
Persistent link: https://www.econbiz.de/10012762558
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Stock Return Predictability : Is it There?
Bekaert, Geert - 2010
We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …
Persistent link: https://www.econbiz.de/10012763174
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The Taxation of Income from Capital : A Comparative Study of the U.S., U.K., Sweden and West Germany--Comparisons of Effective Tax Rates--
King, Mervyn; Fullerton, Don - 2021
This working paper presents Chapter 7 of a book to be published for the National Bureau of Economic Research by the University of Chicago Press. The point of the book is to compare taxes on income from capital in four countries,accounting for corporate, personal, and property taxes, and...
Persistent link: https://www.econbiz.de/10013224427
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The Taxation of Income from Capital : A Comparative Study of the U.S., U.K., Sweden, and West Germany--The Theoretical Framework--
King, Mervyn; Fullerton, Don - 2021
This working paper presents Chapter 2 of a book that has been submitted to the University of Chicago Press for publication consideration. The point of the book is to compare taxes on income from capital infour countries,accounting for corporate, personal, and property taxes, and including...
Persistent link: https://www.econbiz.de/10013226949