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Price delay and post-earnings announcement drift anomalies : the role of option-implied betas

Ho, Hwai-chung; Tsai, Wei-Che - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012667185

Stock price reaction to profit warnings : the role of time-varying betas

Yin, Shuxing; Mazouz, Khelifa; Benamraoui, Abdelfahid; … - In: Review of quantitative finance and accounting 50 (2018) 1, pp. 67-93

Persistent link: https://www.econbiz.de/10011979095

Core earnings uncertainty, dividend change announcements and the reduction of covariance component risks

Dempsey, Stephen J.; Harrison, David M.; Sheng, Hainan - In: Journal of business finance & accounting : JBFA 42 (2015) 9/10, pp. 1075-1120

Persistent link: https://www.econbiz.de/10011535857

The profitability of low-volatility

Blitz, David; Vidojevic, Milan - In: Journal of empirical finance 43 (2017), pp. 33-42

Persistent link: https://www.econbiz.de/10011817898

Fundamentals and the winner-loser effect theory and empirical evidence

Külpmann, Mathias - 2000

Persistent link: https://www.econbiz.de/10001474619

Asymmetric News and Asset Pricing

Suijs, Jeroen - 2011

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...

Persistent link: https://www.econbiz.de/10013119323

An empirical investigation of the Fama-French five-factor model

Paliienko, Oleksandr; Naumenkova, Svitlana; Mishchenko, … - In: Investment management and financial innovations 17 (2020) 1, pp. 143-155

Persistent link: https://www.econbiz.de/10012300519

Stock markets and real-time macroeconomic data

Hartmann, Daniel - 2007

Persistent link: https://www.econbiz.de/10003516924

Jump-diffusion long-run risks models, variance risk premium and volatility dynamics

Jin, Jianjian - 2013

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

Persistent link: https://www.econbiz.de/10009734341

Where are the sources of stock market mispricing and excess volatility?

Chen, Carl R.; Lung, Peter P.; Wang, F. Albert - In: Review of quantitative finance and accounting 41 (2013) 4, pp. 631-650

Persistent link: https://www.econbiz.de/10010246406

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