Similar Search Results

Are the dynamic linkages between the macroeconomy and asset prices time-varying?

Guidolin, Massimo; Ono, Sadayuki - In: Journal of economics & business 58 (2006) 5/6, pp. 480-518

Persistent link: https://www.econbiz.de/10003374308

Sentiment risk premia in the cross-section of global equity and currency returns

Füss, Roland; Guidolin, Massimo; Koeppel, Christian - 2019 - This version: August 28, 2019

Persistent link: https://www.econbiz.de/10012101492

Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section

Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: June 6, 2015

Persistent link: https://www.econbiz.de/10011809314

Sentiment Risk Premia in the Cross-Section of Global Equity

Füss, Roland; Guidolin, Massimo; Koeppel, Christian - 2020

This paper introduces a new sentiment-augmented asset pricing model and provides a com-prehensive understanding of the role of this sentiment-driven risk factors. We ﬁnd that news andsocial media search-based indicators are signiﬁcantly related to excess returns of internationalequity...

Persistent link: https://www.econbiz.de/10012832768

Portfolio performance of linear SDF models : an out-of-sample assessment

Guidolin, Massimo; Hansen, Erwin; Lozano-Banda, Martín - In: Quantitative finance 18 (2018) 8, pp. 1425-1436

Persistent link: https://www.econbiz.de/10011911550

Portfolio performance of linear SDF models : an out-of-sample assessment

Guidolin, Massimo; Hansen, Erwin; Lozano-Banda, Martín - 2018 - This version: February, 2018

Persistent link: https://www.econbiz.de/10011920747

Time-varying risk aversion and international stock returns

Guidolin, Massimo; Hansen, Erwin; Cabrera, Gabriel - 2023 - This version: August 2023

Persistent link: https://www.econbiz.de/10014470638

How did the financial crisis alter the correlations of US yield spreads?

Contessi, Silvio; De Pace, Pierangelo; Guidolin, Massimo - In: Journal of empirical finance 28 (2014), pp. 362-385

Persistent link: https://www.econbiz.de/10011285619

A yield spread perspective on the great financial crisis : break-point test evidence

Guidolin, Massimo; Tam, Yu Man - In: International review of financial analysis 26 (2013), pp. 18-39

Persistent link: https://www.econbiz.de/10009717229

Are unconventional monetary policies a priced risk factor for hedge fund strategies?

Guidolin, Massimo; Orlov, Alexei G. - 2020

Persistent link: https://www.econbiz.de/10012495255