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Common risk factors and the macroeconomy : new evidence from the Japanese stock market

Bretschger, Lucas; Lechthaler, Filippo - 2012

Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an adequate approach for the Japanese market. The Carhart...

Persistent link: https://www.econbiz.de/10009552906

The cross-section of returns, benchmark model parameters, and idiosyncratic volatility of nuclear energy firms after Fukushima Daiichi

Lopatta, Kerstin; Kaspereit, Thomas - In: Energy economics 41 (2014), pp. 125-136

Persistent link: https://www.econbiz.de/10010374601

The stochastic volatility in mean model : empirical evidence from international stock markets

Koopman, Siem Jan; Hol Uspensky, Eugenie - In: Journal of applied econometrics 17 (2002) 6, pp. 667-689

Persistent link: https://www.econbiz.de/10001723785

The stochastic volatility on mean model : empirical evidence from international stock markets

Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000

Persistent link: https://www.econbiz.de/10001472890

Quantile relationships between standard, diffusion and jump betas across Japanese banks

Chowdhury, Biplob; Jeyasreedharan, Nagaratnam; Dungey, … - In: Journal of Asian economics 59 (2018), pp. 29-47

Persistent link: https://www.econbiz.de/10012102893

Asset-pricing implications of dividend volatility

Li, Yan; Yang, Liyan - In: Management science : journal of the Institute for … 59 (2013) 9, pp. 2036-2055

Persistent link: https://www.econbiz.de/10010194838

Does idiosyncratic volatility matter in the emerging markets? : Istanbul Stock Exchange evidence

Gökgöz, Fazıl; Altintaş, Ipek - In: Economic research 26 (2013) 3, pp. 133-150

Persistent link: https://www.econbiz.de/10010197022

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - In: Applied economics 53 (2021) 55, pp. 6376-6397

Persistent link: https://www.econbiz.de/10012697913

Explaining REIT returns

Letdin, Mariya; Sirmans, Corbitt Stace; Sirmans, G. Stacy; … - In: Journal of real estate literature : a publication of … 27 (2019) 1, pp. 3-25

Persistent link: https://www.econbiz.de/10012416738

Modeling the return distribution of salmon farming companies : a quantile regression approach

Steen, Marie; Jacobsen, Fredrik - In: Aquaculture economics & management : official journal … 24 (2020) 3, pp. 310-337

Persistent link: https://www.econbiz.de/10012264424

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