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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence

Bollerslev, Tim - 2012

Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...

Persistent link: https://www.econbiz.de/10013115149

Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence

Bollerslev, Tim - 2012

Persistent link: https://www.econbiz.de/10013109053

Volatility Risk and the Value Premium : Evidence from the French Stock Market

Arısoy, Yakup Eser - 2016

This paper documents that systematic volatility risk is an important factor that drives the value premium observed in … volatility risk, I document significant differences between volatility factor loadings of value and growth stocks. Furthermore …, when markets are classified into expected booms and recessions, volatility factor loadings are also time-varying. When …

Persistent link: https://www.econbiz.de/10013008746

Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13

. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets …. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The …

Persistent link: https://www.econbiz.de/10012422545

The Forward Premium Puzzle and Latent Factors Day by Day

Bernoth, Kerstin - 2011

We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...

Persistent link: https://www.econbiz.de/10013119324

The Forward Premium Puzzle and Latent Factors Day by Day

Bernoth, Kerstin - 2010

Persistent link: https://www.econbiz.de/10013141467

Credit Spreads : An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS

Forte, Santiago - 2012

This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads. A general VECM representation is proposed for changes in the three credit spread measures which accounts for zero, one, or two independent cointegration equations, depending...

Persistent link: https://www.econbiz.de/10012755686

On the risk return relationship

Wang, Jian-xin; Yang, Minxian - In: Journal of empirical finance 21 (2013), pp. 132-141

Persistent link: https://www.econbiz.de/10009745277

Modeling common volatility characteristics and dynamic risk premia in European equity markets

Koutmos, Gregory; Knif, Johan; Philippatos, George C. - In: The quarterly review of economics and finance : journal … 48 (2008) 3, pp. 567-578

Persistent link: https://www.econbiz.de/10003747269

Estimates of the short-term rate process in an arbitrage-free framework

Kazemi, Hossein; Mahdavi, Mahnaz; Salazar, Brett - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 577-589

Persistent link: https://www.econbiz.de/10002171480

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