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Brennan, Michael J.; Xia, Yihong - In: The review of financial studies 19 (2006) 3, pp. 753-795

Persistent link: https://www.econbiz.de/10003358382

An exploration of the forward premium puzzle in currency markets

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Conditioning information and variance bounds on pricing kernels with higher-order moments : theory and evidence

Chabi-Yo, Fousseni - In: The review of financial studies 21 (2008) 1, pp. 181-231

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Facts and fantasies about commodity futures

Gorton, Gary (contributor); … - 2005 - Rev.

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Stock returns and expected business conditions : half a century of direct evidence

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Durability of output and expected stock returns

Gomes, João (contributor); Kogan, Leonid (contributor); … - 2007 - Rev.

"The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the NIPA input-output tables, we construct portfolios of durable-good, nondurable-good,...

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Expected returns, yield spreads, and asset pricing tests

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Explaining the level of credit spreads : option-implied jump risk premia in a firm value model

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A comprehensive look at the empirical performance of equity premium prediction

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The declining equity premium : what role does macroeconomic risk play?

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