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Is information risk priced in Indian stock market?
Goel, Anshi; Tripathi, Vanita; Agarwal, Megha - In: Finance India : the quarterly journal of Indian … 35 (2021) 4, pp. 1273-1298
Persistent link: https://www.econbiz.de/10013272745
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Does the asset pricing premium reflect asymmetric or incomplete information?
Liu, Crocker H.; Nowak, Adam; Smith, Patrick - 2018
Persistent link: https://www.econbiz.de/10012390219
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Asset pricing with regime-dependent preferences and learning
Berrada, Tony; Detemple, Jérôme B.; Rindisbacher, Marcel - 2013
of risk, the interest rate, the stock market volatility, the equity premium and the moments of the consumption growth …
Persistent link: https://www.econbiz.de/10010256362
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Informing or being informed : essays on enforcement and asset pricing
Franke, Benedikt - 2015
Persistent link: https://www.econbiz.de/10011433712
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Cross section of option returns and idiosyncratic stock volatility
Cao, Jie; Han, Bing - In: Journal of financial economics 108 (2013) 1, pp. 231-249
Persistent link: https://www.econbiz.de/10009746504
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Idiosyncratic risk and expected returns in frontier markets : evidence from GCC
Bley, Jorg; Saad, Mohsen M. - In: Journal of international financial markets, … 22 (2012) 3, pp. 538-554
Persistent link: https://www.econbiz.de/10009623547
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Excess volatility and the cross-section of stock returns
Wang, Yuming; Ma, Jinpeng - In: The North American journal of economics and finance : a … 27 (2014), pp. 1-16
Persistent link: https://www.econbiz.de/10010460922
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Risk and return in the Chinese stock market : does equity return dispersion proxy risk?
Chen, Chun-Da; Demirer, Rıza; Jategaonkar, Shrikant P. - In: Pacific-Basin finance journal 33 (2015), pp. 23-37
Persistent link: https://www.econbiz.de/10011474042
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An Asset Pricing Theory of Volatility Tail Behavior
Bakshi, Gurdip - 2012
We contrast two different asset pricing models, where the pricing kernel either (i) increases in the volatility … dimension, reflecting investors' aversion to volatility, or (ii) could be non-monotonic in volatility, reflecting heterogeneity … in investors' beliefs. The two models yield opposite predictions about volatility tail behavior, whereby the model with …
Persistent link: https://www.econbiz.de/10013115088
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Idiosyncratic Volatility, Its Expected Variation, and the Cross-Section of Stock Returns
Branger, Nicole - 2019
We show that the widely documented negative relation between idiosyncratic volatility (IVOL) and expected returns can …
Persistent link: https://www.econbiz.de/10012901631