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Beware of the crash risk : tail beta and the cross-section of stock returns in China
Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Applied economics 51 (2019) 44, pp. 4870-4881
Persistent link: https://www.econbiz.de/10012197122
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Oil beta uncertainty and global stock returns
Chen, Chun-Da; Demirer, Rıza - In: Energy economics 112 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013350430
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Economic uncertainty : mispricing and ambiguity premium
Cai, Charlie X.; Fu, Xi; Kerestecioglu, Semih - In: European financial management : the journal of the … 29 (2023) 5, pp. 1702-1751
Persistent link: https://www.econbiz.de/10014430235
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Earnings beta
Ellahie, Atif - In: Review of accounting studies 26 (2021) 1, pp. 81-122
Persistent link: https://www.econbiz.de/10012498384
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Aggregate distress risk and equity returns
Guo, Hui; Jiang, Xiaowen - In: Journal of banking & finance 133 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013257367
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International tail risk and world fear
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …
Persistent link: https://www.econbiz.de/10011751251
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Disagreement in economic forecasts and equity returns : risk or mispricing?
Bali, Turan G.; Brown, Stephen J.; Tang, Yi - In: China finance review international 13 (2023) 3, pp. 309-341
Persistent link: https://www.econbiz.de/10014362710
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Persistence of jump-induced tail risk and limits to arbitrage
Chow, K. Victor; John, Kose; Li, Jingrui; Sopranzetti, … - In: Quantitative finance 23 (2023) 4, pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
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Idiosyncratic volatility and the cross-section of anomaly returns : is risk your ally?
Zaremba, Adam; Maydybura, Alina - In: Applied economics 51 (2019) 49, pp. 5388-5397
Persistent link: https://www.econbiz.de/10012197236
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The betting against beta anomaly : fact or fiction?
Buchner, Axel; Wagner, Niklas F. - In: Finance research letters 16 (2016), pp. 283-289
Persistent link: https://www.econbiz.de/10011656225