Similar Search Results

Narrow search

Beta and size equity premia following a high-VIX threshold

Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: The journal of futures markets 42 (2022) 8, pp. 1491-1517

Persistent link: https://www.econbiz.de/10013287992

The other January effect : international, style, and subperiod evidence

Stivers, Christopher T.; Sun, Licheng; Sun, Yong - In: Journal of financial markets 12 (2009) 3, pp. 521-546

Persistent link: https://www.econbiz.de/10003873567

Mitigating estimation risk in asset allocation : diagonal models versus 1/N diversification

Stivers, Christopher T.; Sun, Licheng - In: The financial review : the official publication of the … 51 (2016) 3, pp. 403-433

Persistent link: https://www.econbiz.de/10011550915

Bond risk's role in the equity risk-return tradeoff

Bansal, Naresh K.; Stivers, Christopher T. - In: Journal of financial markets 60 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013397895

The pricing of forward and futures contracts

Dubofsky, David A. - In: Financial derivatives : pricing and risk management, (pp. 351-369). 2010

Persistent link: https://www.econbiz.de/10003920433

The Nonlinear High-Volatility Phenomenon in Beta and Size Equity Premia

Bansal, Naresh - 2020

Over 1960 to 2017, we show that a positive risk premium from holding high-beta stocks (versus low-beta stocks) and small-cap stocks (versus large-cap stocks) is reliably earned only after the expected stock-market volatility breaches an approximate top-quintile threshold. The high conditional...

Persistent link: https://www.econbiz.de/10012855105