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Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …

Persistent link: https://www.econbiz.de/10011410917

Transactions costs and the equity premium puzzle

Hong, Sanghyun - 2020

Persistent link: https://www.econbiz.de/10012426834

Life-cycle risk-taking with personal disaster risk

Bagliano, Fabio C.; Fugazza, Carolina; Nicodano, Giovanna - 2021

Persistent link: https://www.econbiz.de/10012583768

Time-varying risk premia and the cross section of stock returns

Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001973914

The contribution of frictions to expected returns

Hirakiy, Kazuhiro; Skiadopoulos, George - 2018

We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...

Persistent link: https://www.econbiz.de/10011932555