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The equity premium and the business cycle : the role of demand and supply shocks
Smith, Peter N.; Sorensen, Steffen; Wickens, Michael R. - In: International journal of finance & economics : IJFE 15 (2010) 2, pp. 134-152
Persistent link: https://www.econbiz.de/10008702360
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Implied idiosyncratic volatility and stock return predictability
Mateus, Cesario; Konsilp, Worawuth - In: Journal of mathematical finance 4 (2014) 5, pp. 338-352
Persistent link: https://www.econbiz.de/10011312407
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Durable consumption, long-run risk and the equity premium
Guo, Na; Smith, Peter N. - 2012
Persistent link: https://www.econbiz.de/10009728052
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Equity returns and the business cycle : the role of supply and demand shocks
Mendoza Velázquez, Alfonso; Smith, Peter N. - 2012
Persistent link: https://www.econbiz.de/10009728053
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An empirical analysis of the volatility in the open-end fund market : evidence from China
Xie, Shiqing; Huang, Xichen - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 150-162
Persistent link: https://www.econbiz.de/10010258917
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Chasing the deal with the money : measuring the required risk premium and expected abnormal returns of private equity funds to maximize their internal rate of return
Scarpati, Fernando; Ng, Wilson - In: Risk governance & control : financial markets & institutions 3 (2013) 3, pp. 56-69
Persistent link: https://www.econbiz.de/10011444220
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Measuring yields : arithmetic, geometric and horizon-consistent average
Dvořák, Michal - In: Prague economic papers : a bimonthly journal of … 25 (2016) 3, pp. 335-353
Persistent link: https://www.econbiz.de/10011535465
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An anatomy of global risk premiums
Boon, Ling-Ni; Ielpo, Florian - In: The journal of asset management 17 (2016) 4, pp. 229-243
Persistent link: https://www.econbiz.de/10011504216
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Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set
Sala, Carlo; Barone-Adesi, Giovanni - 2015
Supported by empirical examples, this paper provides a theoretical analysis on the impacts of using a suboptimal information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental theorems of asset pricing. While inferring the...
Persistent link: https://www.econbiz.de/10011506352
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Romanian municipal bond market at Bucharest Stock Exchange : further investigations
Pop, Cornelia; Georgescu, Maria-Andrada - In: Theoretical and applied economics : GAER review 22 (2015) 1, pp. 145-176
Persistent link: https://www.econbiz.de/10011558424