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Temporal aggregation and risk-return relation

Jin, Xing; Wang, Leping; Yu, Jun - In: Finance research letters 4 (2007) 2, pp. 104-115

Persistent link: https://www.econbiz.de/10003477216

Extreme value behavior of aggregate dependent risks

Chen, Die; Mao, Tiantian; Pan, Xiaoqing; Hu, Taizhong - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 99-108

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Does Aggregate Uncertainty Explain Size and Value Anomalies?

Aboura, Sofiane - 2019

Following seminal works of Knight (1921) and Ellsberg (1961), we distinguish uncertainty from risk and examine the … for aggregate uncertainty and controlling for market risk, volatility risk, correlation risk, and the variance risk …

Persistent link: https://www.econbiz.de/10012904720

The predictability of future aggregate earnings growth and the relation between aggregate analyst recommendation changes and future returns

Billings, Bruce K.; Keskek, Sami; Pierce, Spencer - In: The accounting review : a publication of the American … 96 (2021) 1, pp. 41-66

Persistent link: https://www.econbiz.de/10012439360

Pricing of risk and volatility dynamics on an emerging stock market : evidence from both aggregate and disaggregate data

Khan, Faisal; Ur Rehman, Saif; Khan, Hashim; Xu, Tie - In: Economic research 29 (2016) 1, pp. 799-815

Persistent link: https://www.econbiz.de/10012222011

Time aggregation of the Sharpe ratio

Bednarek, Ziemowit; Patel, Pratish; Ramezani, Cyrus A. - In: The journal of asset management 17 (2016) 7, pp. 540-555

Persistent link: https://www.econbiz.de/10011648221

Understanding the risk-return relation : the aggregate wealth proxy actually matters

Cederburg, Scott; O'Doherty, Michael - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 721-735

Persistent link: https://www.econbiz.de/10012179374

The scale of predictability

Bandi, F. M.; Perron, Benoit; Tamoni, A.; Tebaldi, C. - In: Journal of econometrics 208 (2019) 1, pp. 120-140

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Business-cycle consumption risk and asset prices

Bandi, Federico M.; Tamoni, Andrea - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23

Persistent link: https://www.econbiz.de/10014471828

A modified Corrado test for assessing abnormal security returns

Ataullah, Ali; Song, Xiaojing; Tippett, Mark - In: The European journal of finance 17 (2011) 7/8, pp. 589-601

Persistent link: https://www.econbiz.de/10009509842

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