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In search of distress risk
Campbell, John Y.; Hilscher, Jens; Szilagyi, Jan - 2006
Persistent link: https://www.econbiz.de/10003357969
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In search of distress risk
Campbell, John Y.; Hilscher, Jens; Szilagyi, Jan - In: The journal of finance : the journal of the American … 63 (2008) 6, pp. 2899-2939
Persistent link: https://www.econbiz.de/10003823141
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In search of distress risk
Campbell, John Y.; Hilscher, Jens; Szilagyi, Jan - 2005
, the most persistent firm characteristics, market capitalization, the market-book ratio, and equity volatility become …
Persistent link: https://www.econbiz.de/10003293151
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In Search of Distress Risk
Campbell, John Y. - 2006
, the most persistentfirm characteristics, market capitalization, the market-book ratio, and equity volatility become …
Persistent link: https://www.econbiz.de/10012779771
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In Search of Distress Risk
Campbell, John Y. - 2016
Persistent link: https://www.econbiz.de/10012991216
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In Search of Distress Risk
Campbell, John Y. - 2006
firm characteristics, market capitalization, the market-book ratio, and equity volatility become relatively more …
Persistent link: https://www.econbiz.de/10012466303
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No news is good news : an asyymmetric model of changing volatility in stock returns
Campbell, John Y.; Hentschel, Ludger - 1991
Persistent link: https://www.econbiz.de/10000817377
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No News is Good News : An Asymmetric Model of Changing Volatility in Stock Returns
Campbell, John Y. - 2009
It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … for this volatility feedback effect. The resulting model is asymmetric, because volatility feedback amplifies large … for large crashes. The model also implies that volatility feedback is more important when volatility is high. In U …
Persistent link: https://www.econbiz.de/10012767711
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No News is Good News : An Asymmetric Model of Changing Volatility in Stock Returns
Campbell, John Y. - 1991
It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … for this volatility feedback effect. The resulting model is asymmetric, because volatility feedback amplifies large … for large crashes. The model also implies that volatility feedback is more important when volatility is high. In U …
Persistent link: https://www.econbiz.de/10012475263
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The long-run risks model and aggregate asset prices : an empirical assessment
Beeler, Jason; Campbell, John Y. - 2009
Persistent link: https://www.econbiz.de/10003822202