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Beware of the crash risk : tail beta and the cross-section of stock returns in China
Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Applied economics 51 (2019) 44, pp. 4870-4881
Persistent link: https://www.econbiz.de/10012197122
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Betting against low nominal prices : evidence from China
Zhang, Bing - In: International review of economics & finance : IREF 88 (2023), pp. 476-500
Persistent link: https://www.econbiz.de/10014474579
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Global risk premia on international stock and bond markets
Oertmann, Peter - 1997
Persistent link: https://www.econbiz.de/10000621233
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Liquidity and asset prices : an empirical investigation of the nordic stock markets
Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705
Persistent link: https://www.econbiz.de/10011408519
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An analysis of the relationship between risk and expected return in the BRVM stock exchange : test of the CAPM
Pamane, Kolani; Vikpossi, Anani Ekoue - In: Research in world economy 5 (2014) 1, pp. 13-28
Persistent link: https://www.econbiz.de/10010461988
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Implied Equity Premium and Market Beta
Chow, Victor; Gu, Jiahao; Wang, Zhan - 2021
We extend the ex-ante mean-variance (SVIX) models of Martin (2017) and Martin-Wagner (2019) to a mean-variance-asymmetry (AVIX) framework for incorporating higher-moment and co-moment risk in asset pricing. AVIX is a risk-neutral measure of the left-tail asymmetries in return that corrects the...
Persistent link: https://www.econbiz.de/10013242103
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Beta and size equity premia following a high-VIX threshold
Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: The journal of futures markets 42 (2022) 8, pp. 1491-1517
Persistent link: https://www.econbiz.de/10013287992
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The betting against beta anomaly : fact or fiction?
Buchner, Axel; Wagner, Niklas F. - In: Finance research letters 16 (2016), pp. 283-289
Persistent link: https://www.econbiz.de/10011656225
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Does the equity premium puzzle persist during financial crisis? : the case of the French equity market
Bellelah, M. A.; Bellelah, M. O.; Ben Ameur, Hachmi; … - In: Research in international business and finance 39 (2017), pp. 851-866
Persistent link: https://www.econbiz.de/10011912395
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Conditional asset pricing in international equity markets
Huynh, Thanh D. - In: International review of economics & finance : IREF 49 (2017), pp. 168-189
Persistent link: https://www.econbiz.de/10011748394