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A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX

Yun, Jaeho - In: Economics letters 186 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012500329

Stock return predictability and variance risk premia around the ZLB

Ogawa, Toshiaki; Ubukata, Masato; Watanabe, Toshiaki - 2020

Persistent link: https://www.econbiz.de/10013461530

How do investors price accrual risk during crises?

Alhenawi, Yasser; Hassan, M. Kabir - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 4684-4706

Persistent link: https://www.econbiz.de/10014430059

[Rezension von: Advances in behavioral finance, Richard Thaler (ed.)]

Eichenberger, Reiner - In: Kyklos : international review for social sciences 47 (1994) 4, pp. 630-632

Persistent link: https://www.econbiz.de/10001347278

Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018

Persistent link: https://www.econbiz.de/10011977460

The high-volume return premium and changes in investor recognition

Gordon, Narelle; Wu, Qiongbing - In: Pacific-Basin finance journal 51 (2018), pp. 121-136

Persistent link: https://www.econbiz.de/10012035119

Dynamics of variance risk premia, investors' sentiment and return predictability

Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2017

Persistent link: https://www.econbiz.de/10011624137

Risk-adjusted time series momentum

Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 liquid futures contracts and show that RAMOM strategies...

Persistent link: https://www.econbiz.de/10011293745

Skewness preferences and gambling cultures

Blau, Benjamin; Hsu, Jason C.; Whitby, Ryan J. - In: Pacific-Basin finance journal 58 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012231069

Essays in empirical asset pricing and international finance

Niu, Zilong - 2020

Persistent link: https://www.econbiz.de/10012172860

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