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Return direction forecasting : a conditional autoregressive shape model with beta density

Xie, Haibin; Sun, Yuying; Fan, Pengying - In: Financial innovation : FIN 9 (2023) 1, pp. 1-16

This paper derives a new decomposition of stock returns using price extremes and proposes a conditional autoregressive shape (CARS) model with beta density to predict the direction of stock returns. The CARS model is continuously valued, which makes it different from binary classification...

Persistent link: https://www.econbiz.de/10014289111

Collateral affects return risk : evidence from the euro bond market

Helberg, Stig; Lindset, Snorre - In: Financial markets and portfolio management 34 (2020) 1, pp. 99-128

Persistent link: https://www.econbiz.de/10012225036

Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?

Salvador, Enrique; Floros, Christos; Aragó Manzana, Vicent - In: Journal of empirical finance 28 (2014), pp. 60-77

Persistent link: https://www.econbiz.de/10011284508

The pricing of sentiment risk in European stock markets

Keiber, Karl Ludwig; Samyschew, Helene - 2016

This paper studies whether sentiment is rewarded with a significant risk premium on the European stock markets. We … model in order to track the variation of the sentiment risk premium over time. The results demonstrate a positive … calculated sentiment risk premium is significant as well but of a negative sign implying that an investment in EA-11 countries …

Persistent link: https://www.econbiz.de/10011491776

Moment risk premia and the cross-section of stock returns in the European stock market

Elyasiani, Elyas; Gambarelli, Luca; Muzzioli, Silvia - In: Journal of banking & finance 111 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012221095

The market reaction to climate risk : evidence from the European banking industry

Battaglia, Francesca; Busato, Francesco; Taddeo, Simone - In: Creating value and improving financial performance : …, (pp. 1-26). 2023

Persistent link: https://www.econbiz.de/10014320765

Value premium and portfolio return regime : evidence from European equities

Tsuji, Chikashi - In: Modern economy 9 (2018) 3, pp. 434-442

Persistent link: https://www.econbiz.de/10011870390

Empirical asset pricing via machine learning : evidence from the European stock market

Drobetz, Wolfgang; Otto, Tizian - In: The journal of asset management : a major new, … 22 (2021) 7, pp. 507-538

Persistent link: https://www.econbiz.de/10012793590

Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium : Euro-Area Evidence

Nitschka, Thomas - 2010

The failure to empirically prove uncovered interest rate parity conditions seems to be related to the presence of risk … business-cycle-related risks. Times of relatively large uninsured Euro-Area consumption growth risk are associated with an …

Persistent link: https://www.econbiz.de/10013142105

Study of the leading European construction companies using risk factor models

Escribano, Ana; Jareño, Francisco; Cano, Jose Ángel - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3386-3402

Persistent link: https://www.econbiz.de/10014327752

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