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Common risk factors in the cross-section of corporate bond returns

Bai, Jennie; Bali, Turan G.; Wen, Quan - In: Journal of financial economics 131 (2019) 3, pp. 619-642

Persistent link: https://www.econbiz.de/10012133022

Bear beta

Lu, Zhongijn; Murray, Scott - In: Journal of financial economics 131 (2019) 3, pp. 736-760

Persistent link: https://www.econbiz.de/10012133542

Downside CAPM : the case of South Africa

Okyere-Boakye, Kwasi; O'Malley, Brandon - In: Journal of economic and financial sciences 9 (2016) 2, pp. 578-608

Persistent link: https://www.econbiz.de/10011606524

Systematic tail risk

Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist - 2016

Persistent link: https://www.econbiz.de/10011581609

Generalized asset pricing : Expected Downside Risk-based equilibrium modeling

Ormos, Mihály; Timotity, Dusán - In: Economic modelling 52 (2016), pp. 967-980

Persistent link: https://www.econbiz.de/10011643117

Risk and return of short-duration equity investments

Cejnek, Georg; Randl, Otto - In: Journal of empirical finance 36 (2016), pp. 181-198

Persistent link: https://www.econbiz.de/10011662843

Contagion and downside risk in the REIT market during the subprime mortgage crisis

Chen, Ming-Chi; Tsai, Hsiu-Jung; Sing, Tien-foo; Yang, … - In: International journal of strategic property management 19 (2015) 1, pp. 42-57

Persistent link: https://www.econbiz.de/10011302960

Life insurer cost of equity with asymmetric risk factors

Bajtelsmit, Vickie; Villupuram, Sriram V.; Wang, Tianyang - In: The financial review : the official publication of the … 50 (2015) 3, pp. 435-457

Persistent link: https://www.econbiz.de/10011338149

Asset pricing under quantile utility maximization

Giovannetti, Bruno - In: Review of financial economics : RFE 22 (2013) 4, pp. 169-179

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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

Persistent link: https://www.econbiz.de/10012175486

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