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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
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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/10013109053
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Volatility Risk and the Value Premium : Evidence from the French Stock Market
Arisoy, 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
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Intra-Day Risk Premia in European Electricity Forward Markets
Ronn, Ehud I. - 2009
). Given the significant volatility and jump risk of electricity prices, these closely linked markets offer an opportunity to …
Persistent link: https://www.econbiz.de/10013158115
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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
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Market efficiency, asset returns, and the size of the risk premium in global equity markets
Bansal, Ravi; Lundblad, Christian - In: Journal of econometrics 109 (2002) 2, pp. 195-237
Persistent link: https://www.econbiz.de/10001689009
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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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On the Risk Return Relationship
Wang, Jian-xin - 2012
volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …
Persistent link: https://www.econbiz.de/10013107127
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On the Risk Return Relationship
Yang, Minxian - 2012
volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …
Persistent link: https://www.econbiz.de/10013107156
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On the risk return relationship
Wang, Jian-xin; Yang, Minxian - 2012
Persistent link: https://www.econbiz.de/10009775894