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Can extreme returns predict thecross-section of expected returns in theBrazilian market?
Marques, Naielly Lopes; Klotzle, Marcelo Cabus; Pinto, … - In: Revista Brasileira de Finanças : RBFin 20 (2022) 1, pp. 62-81
Persistent link: https://www.econbiz.de/10013257698
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Predictability of currency carry trades and asset pricing implications
Bakshi, Gurdip S.; Panayotov, George - In: Journal of financial economics 110 (2013) 1, pp. 139-163
Persistent link: https://www.econbiz.de/10010207758
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Learning and Forecasts about Option Returns through the Volatility Risk Premium
Bernales, Alejandro - 2019
We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium (VRP …
Persistent link: https://www.econbiz.de/10012892623
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Oil volatility risk and stock market volatility predictability : evidence from G7 countries
Feng, Jiabao; Wang, Yudong; Yin, Libo - In: Energy economics 68 (2017), pp. 240-254
Persistent link: https://www.econbiz.de/10011905699
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The change in stock-selection risk and stock market returns
Liu, Jing; He, Qiubei; Li, Yan; Luu Duc Toan Huynh; … - In: International review of financial analysis 85 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014234959
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Removing predictable analyst forecast errors to improve implied cost of equity estimates
Mohanram, Partha; Gode, Dhananjay K. - In: Review of accounting studies 18 (2013) 2, pp. 443-478
Persistent link: https://www.econbiz.de/10009767181
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A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - 2015
Persistent link: https://www.econbiz.de/10010497568
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Predictability of Currency Carry Trades and Asset Pricing Implications
Bakshi, Gurdip - 2012
bought or sold against the U.S. dollar, based on forward discounts. Changes in a commodity index, currency volatility and, to … pricing model, with average currency returns and the mimicking portfolio for the innovations in currency volatility as risk …
Persistent link: https://www.econbiz.de/10013113110
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Time-frequency forecast of the equity premium
Faria, Gonçalo; Verona, Fabio - In: Quantitative finance 21 (2021) 12, pp. 2119-2135
Persistent link: https://www.econbiz.de/10012696823
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Future realized return, firm-specific risk and the implied expected return
Wang, Pengguo - In: Abacus : a journal of accounting, finance and business … 54 (2018) 1, pp. 105-132
Persistent link: https://www.econbiz.de/10011965532