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An empirical assessment of different risk measures for stocks traded on the ASE
Messis, Petros; Blanas, George - In: EuroEconomica (2009) 1, pp. 5-15
Persistent link: https://www.econbiz.de/10008702605
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Contagion and downside risk in the REIT market during the subprime mortgage crisis
Chen, Ming-Chi; Tsai, Hsiu-Jung; Sing, Tien-foo; Yang, … - In: International journal of strategic property management 19 (2015) 1, pp. 42-57
Persistent link: https://www.econbiz.de/10011302960
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Measuring equity risk with option-implied correlations
Buss, Adrian; Vilkov, Grigory - In: The review of financial studies 25 (2012) 10, pp. 3113-3140
Persistent link: https://www.econbiz.de/10009630175
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Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791
Persistent link: https://www.econbiz.de/10009708799
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Can advanced markets help diversify risks in frontier stock markets? : evidence from Gulf Arab stock markets
Demirer, Rıza - In: Research in international business and finance 29 (2013), pp. 77-98
Persistent link: https://www.econbiz.de/10009759908
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CoAnomaly : Correlation Risk in Stock Market Anomalies
Guo, James Tengyu - 2019
pairwise correlation among 34 anomalies, which helps to explain both the time-series and the cross-sectional anomaly return …, CoAnomaly carries a negative price of risk. These return patterns suggest that arbitrageurs take the time-varying correlation …
Persistent link: https://www.econbiz.de/10012900148
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Expected Equity Returns Should Correlate with Idiosyncratic Risk
Bruno, Giovanni - 2018
Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative relationship between equity ivol and expected returns. We show that the effect is caused by the nonlinear payoff of equity and the law of one price, and is present in all but...
Persistent link: https://www.econbiz.de/10012910108
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The securities-correlation risks and the volatility effects in the Japanese stock market
Sakamaki, Satoshi - In: Public policy review 9 (2013) 3, pp. 531-552
Persistent link: https://www.econbiz.de/10010190442
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Global risk aversion and emerging market return comovements
Demirer, Rıza; Omay, Tolga; Yüksel, Aslı; Yüksel, Aydın - In: Economics letters 173 (2018), pp. 118-121
Persistent link: https://www.econbiz.de/10012022952
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Investors' uncertainty and stock market risk
Escobari, Diego; Jafarinejad, Mohammad - In: The journal of behavioral finance : a publication of … 20 (2019) 3, pp. 304-315
Persistent link: https://www.econbiz.de/10012180510