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Measuring global and country-specific uncertainty

Ozturk, Ezgi O.; Sheng, Xuguang - In: Journal of international money and finance 88 (2018), pp. 276-295

Persistent link: https://www.econbiz.de/10012000947

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

Forecasting with CAPM

Le, Thu - 2016

Capital asset pricing model is a popular formula using to calculate asset prices. This research looks at the sample forecasting of three CAPM constant beta model from 2005 to 2014. This research is going to look at the capabilities of CAPM by using the past varying. Five US sectors, five ASEAN...

Persistent link: https://www.econbiz.de/10012980849

Can economic uncertainty, financial stress and consumer sentiments predict US equity premium?

Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - In: Journal of international financial markets, … 33 (2014), pp. 367-378

Persistent link: https://www.econbiz.de/10011299816

Stock return predictability of residual-income-based valuation : risk or mispricing?

Hwang, Lee Seok; Lee, Woo-jong - In: Abacus : a journal of accounting, finance and business … 49 (2013) 2, pp. 219-241

Persistent link: https://www.econbiz.de/10009769203

Payout yield, risk, and mispricing : a Bayesian analysis

Shanken, Jay; Tamayo, Ane - In: Journal of financial economics 105 (2012) 1, pp. 131-152

Persistent link: https://www.econbiz.de/10009622431

Long-run risk and hidden growth persistence

Pakoš, Michal - In: Journal of economic dynamics & control 37 (2013) 9, pp. 1911-1928

Persistent link: https://www.econbiz.de/10009786057

The skewness risk premium in equilibrium and stock return predictability

Sasaki, Hiroshi - In: Annals of finance 12 (2016) 1, pp. 95-133

Persistent link: https://www.econbiz.de/10011555439

Forecasting risk and returns : CAPM model with belief functions

Sutthiporn Piamsuwannakit; Songsak Sriboonchitta - In: Econometrics of risk, (pp. 259-271). 2015

Persistent link: https://www.econbiz.de/10010498527

Macroeconomic volatilities and long-run risks of asset prices

Zhou, Guofu; Zhu, Yingzi - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 413-430

Persistent link: https://www.econbiz.de/10010490848

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