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Expected stock returns worldwide : a log-linear present-value approach
Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charles C. Y. - In: The accounting review : a publication of the American … 97 (2022) 2, pp. 107-133
Persistent link: https://www.econbiz.de/10013198687
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Distress risk premia in expected stock and bond returns
Zhang, Andrew Jianzhong - In: Journal of banking & finance 36 (2012) 1, pp. 225-238
Persistent link: https://www.econbiz.de/10009411138
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Predicting returns on asset markets of a small, open economy and the influence of global risks
Haab, David R.; Nitschka, Thomas - 2017
Persistent link: https://www.econbiz.de/10011794321
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Ambiguity in the cross-section of expected returns : an empirical assessment
Thimme, Julian; Völkert, Clemens - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 418-429
Persistent link: https://www.econbiz.de/10011390409
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House prices, expectations, and time-varying fundamentals
Gelain, Paolo; Lansing, Kevin J. - In: Journal of empirical finance 29 (2014), pp. 3-25
Persistent link: https://www.econbiz.de/10011300508
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A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - 2015
Persistent link: https://www.econbiz.de/10010497568
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Cross-sectional determinants of expected returns
Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar - In: The legacy of Fischer Black, (pp. 161-186). 2005
Persistent link: https://www.econbiz.de/10003404044
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On cross-sectional determinants of expected returns
Lehmann, Bruce Neal - In: The legacy of Fischer Black, (pp. 187-196). 2005
Persistent link: https://www.econbiz.de/10003404090
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Good and Bad Variance Premia and Expected Returns
Kilic, Mete - 2020
We measure "good" and "bad" variance premia that capture risk compensations for the realized variation in positive and negative market returns, respectively. The two variance premium components jointly predict excess returns over the next 1 and 2 years with statistically significant positive...
Persistent link: https://www.econbiz.de/10012853867
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The econophysics of asset prices, returns and multiple expectations
Olkhov, Victor - In: The journal of network theory in finance 5 (2019) 3, pp. 25-52
Persistent link: https://www.econbiz.de/10012489028