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Long-term perspective on the stock market matters in asset pricing

Park, Heungju; Sohn, Bumjean - In: Finance research letters 16 (2016), pp. 162-170

Persistent link: https://www.econbiz.de/10011656148

The ICAPM and empirical pricing factors : a simulation study

Kwon, Ji Ho; Sohn, Bumjean - In: Finance research letters 60 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10014490205

On stable factor structures in the pricing of risk

Ghysels, Eric - 1995

Persistent link: https://www.econbiz.de/10001512514

On stable factor structures in the pricing of risk : do time-varying betas help or hurt?

Ghysels, Eric - In: The journal of finance : the journal of the American … 53 (1998) 2, pp. 549-573

Persistent link: https://www.econbiz.de/10001238269

Dynamic conditional beta

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667

Persistent link: https://www.econbiz.de/10011623818

The impact of risk and uncertainty on expected returns

Anderson, Ewan W.; Ghysels, Eric; Juergens, Jennifer L. - In: Journal of financial economics 94 (2009) 2, pp. 233-263

Persistent link: https://www.econbiz.de/10003906349

Regime switches in the risk-return trade-off

Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - In: Journal of empirical finance 28 (2014), pp. 118-138

Persistent link: https://www.econbiz.de/10011285080

Regime switches in the risk-return trade-off

Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...

Persistent link: https://www.econbiz.de/10010225468

Do heterogeneous beliefs matter for asset pricing?

Anderson, Ewan W.; Ghysels, Eric; Juergens, Jennifer L. - In: The review of financial studies 18 (2005) 3, pp. 875-924

Persistent link: https://www.econbiz.de/10003133526

There is a risk-return tradeoff after all

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - 2004

Persistent link: https://www.econbiz.de/10002482316