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Volatility Risk and Stock Return Predictability on Global Financial Crises

Kongsilp, Worawuth - 2016

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

Persistent link: https://www.econbiz.de/10012999962

Volatility risk and stock return predictability on global financial crises

Kongsilp, Worawuth; Mateus, Cesario - In: China finance review international 7 (2017) 1, pp. 33-66

Persistent link: https://www.econbiz.de/10011797740

Volatility, distress risk, and the cross-section of portfolio returns

Sabbaghi, Omid - In: Review of accounting & finance 14 (2015) 2, pp. 149-171

Persistent link: https://www.econbiz.de/10011308963

The idiosyncratic momentum anomaly

Blitz, David; Hanauer, Matthias; Vidojevic, Milan - In: International review of economics & finance : IREF 69 (2020), pp. 932-957

Persistent link: https://www.econbiz.de/10012487461

Does the equity premium puzzle persist during financial crisis? : the case of the French equity market

Bellelah, M. A.; Bellelah, M. O.; Ben Ameur, Hachmi; … - In: Research in international business and finance 39 (2017), pp. 851-866

Persistent link: https://www.econbiz.de/10011912395

Learning, slowly unfolding disasters, and asset prices

Ghaderi, Mohammad; Kilic, Mete; Seo, Sang Byung - In: Journal of financial economics 143 (2022) 1, pp. 527-549

Persistent link: https://www.econbiz.de/10013350670

Financial Stress and Forecasting UK Equity Risk Premiums

Berry, William; Dietrich, Diemo; Sollis, Robert - 2022

We study the predictability of equity risk premiums for UK equity indexes, in particular whether stylized facts found for the US stock market also apply to the UK market. We compare the performance of economic and technical indicators with a particular focus on the time-varying nature of...

Persistent link: https://www.econbiz.de/10013291975

CDS-bond basis and bond return predictability

Kim, Gi H.; Li, Haitao; Zhang, Weina - In: Journal of empirical finance 38 (2016), pp. 307-337

Persistent link: https://www.econbiz.de/10011664711

Reexamining time-varying bond risk premia in the post-financial crisis era

Zhang, Han; Fan, Xiaoyun; Guo, Bin; Zhang, Wei - In: Journal of economic dynamics & control 109 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012314108

Volatility-of-volatility and tail risk hedging returns

Park, Yang-Ho - In: Journal of financial markets 26 (2015), pp. 38-63

Persistent link: https://www.econbiz.de/10011477272

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