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The information content of investors' expectations for risk and return

Berry, Thomas D.; Gamble, Keith Jacks - In: The quarterly journal of finance 3 (2013) 3/4, pp. 1-23

Persistent link: https://www.econbiz.de/10010389083

Consumption risk, stock returns, and economic cycles

Atanasov, Victoria - In: The Quarterly Journal of Finance : QJF 13 (2023) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10014305007

Macro-expectations, aggregate uncertainty, and expected term premia

Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - In: European economic review : EER 58 (2013), pp. 58-80

Persistent link: https://www.econbiz.de/10009713167

Business-Cycle Variation in Macroeconomic Uncertainty and the Cross-Section of Expected Returns : Evidence for Scale-Dependent Risks

Xyngis, Georgios - 2017

fluctuations in uncertainty with persistence ranging from 32 to 128 months carry a negative price of risk of about -2% annually …. The price of risk for fluctuations with persistence outside of this range and for the raw series of aggregate uncertainty …A single factor that captures assets' exposure to business-cycle variation in macroeconomic uncertainty can explain the …

Persistent link: https://www.econbiz.de/10014133052

Learning about the interdependence between the macroeconomy and the stock market

Milani, Fabio - In: International review of economics & finance : IREF 49 (2017), pp. 223-242

Persistent link: https://www.econbiz.de/10011748427

House prices, expectations, and time-varying fundamentals

Gelain, Paolo; Lansing, Kevin J. - In: Journal of empirical finance 29 (2014), pp. 3-25

Persistent link: https://www.econbiz.de/10011300508

International risk cycles

Gourio, François; Siemer, Michael; Verdelhan, Adrien - In: Journal of international economics 89 (2013) 2, pp. 471-484

Persistent link: https://www.econbiz.de/10009719577

Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?

Kim, Yunmi; Nelson, Charles R. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 307-328

Persistent link: https://www.econbiz.de/10010351545

Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of financial economics 141 (2021) 2, pp. 479-504

Persistent link: https://www.econbiz.de/10013259807

Volatility feedback effect and risk-return tradeoff

Chelikani, Surya; Marks, Joseph M.; Nam, Kiseok - In: The quarterly review of economics and finance : journal … 92 (2023), pp. 49-65

Persistent link: https://www.econbiz.de/10014490242

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