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A new approach to measuring riskiness in the equity market : implications for the risk premium
Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - In: Journal of banking & finance 57 (2015), pp. 101-117
Persistent link: https://www.econbiz.de/10011543805
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A New Approach to Measuring Riskiness in the Equity Market : Implications for the Risk Premium
Bali, Turan G. - 2013
implied volatility (VIX), aggregate idiosyncratic volatility, and a large set of macroeconomic variables. We also provide …
Persistent link: https://www.econbiz.de/10013091047
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A New Approach to Measuring Riskiness in the Equity Market : Implications for the Risk Premium
Bali, Turan G. - 2013
remains intact after controlling for the S&P500 index option's implied volatility (VIX), aggregate idiosyncratic volatility …
Persistent link: https://www.econbiz.de/10013091172
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The Magic Formula : Value, Profitability, and the Cross Section of Global Stock Returns
Blackburn, Douglas W. - 2017
Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991-2016, we test Greenblatt's (2006) “Magic Formula” (MF) and find that a modified MF which uses gross...
Persistent link: https://www.econbiz.de/10012958130
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Frontier stock markets : local versus global factors
Blackburn, Douglas W.; Cakici, Nusret - In: The journal of investing : JOI 29 (2020) 3, pp. 108-127
Persistent link: https://www.econbiz.de/10013177807
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The joint cross section of stocks and options
An, Byeong-Je; Ang, Andrew; Bali, Turan G.; Cakici, Nusret - In: The journal of finance : the journal of the American … 69 (2014) 5, pp. 2279-2337
Persistent link: https://www.econbiz.de/10010489666
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The Joint Cross Section of Stocks and Options
Ang, Andrew - 2012
increases in implied volatility over the next month, but realized volatility tends to decrease. The results are consistent with …
Persistent link: https://www.econbiz.de/10013116493
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The Joint Cross Section of Stocks and Options
An, Byeong-Je - 2014
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10013066588
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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 Joint Cross Section of Stocks and Options
An, Byeong-Je - 2014
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10013062479