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News Shocks, Long-Run Risk, and Asset Returns

Kim, Soohun - 2017

This paper studies the long-run risk embedded in the news about future investment-specific technology (IST). The IST …-run consumption risk hypothesis, we find that the IST news shock carries a significantly positive risk premium in the cross section of …

Persistent link: https://www.econbiz.de/10012972792

Expectations and aggregate risk

Bretscher, Lorenzo; Malkhozov, Aytek; Tamoni, Andrea - In: Journal of monetary economics 123 (2021), pp. 91-108

Persistent link: https://www.econbiz.de/10013273698

Asset pricing model uncertainty

Borup, Daniel - In: Journal of empirical finance 54 (2019), pp. 166-189

Persistent link: https://www.econbiz.de/10012174790

Essays on empirical asset pricing

Verbeek, Roy - 2017

Persistent link: https://www.econbiz.de/10011863839

Blind to carbon risk? : an analysis of stock market reaction to the Paris Agreement

Monasterolo, Irene; De Angelis, Luca - In: Ecological economics : the transdisciplinary journal of … 170 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012198071

Is information risk priced? : evidence from abnormal idiosyncratic volatility

Yang, Yung Chiang; Zhang, Bohui; Zhang, Chu - In: Journal of financial economics 135 (2020) 2, pp. 528-554

Persistent link: https://www.econbiz.de/10012543156

The timing of new corporate debt issues and the risk-return tradeoff

Koutmos, Dimitrios; Bozos, Konstantinos; Dionysiou, Dionysia - In: Review of quantitative finance and accounting 50 (2018) 4, pp. 943-978

Persistent link: https://www.econbiz.de/10011979340

When bad news is good news : geopolitical risk and the cross-section of emerging market stock returns

Zaremba, Adam; Cakici, Nusret; Demir, Ender; Long, Huaigang - In: Journal of financial stability 58 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013417457

When Bad News is Good News : Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns

Zaremba, Adam; Cakici, Nusret; Demir, Ender - 2020

Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find … that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical …

Persistent link: https://www.econbiz.de/10014352071

Asset pricing : a tale of two days

Savor, Pavel; Wilson, Mungo - In: Journal of financial economics 113 (2014) 2, pp. 171-201

Persistent link: https://www.econbiz.de/10010479560

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