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The value premium and uncertainty : an approach by support vector regression algorithm
Bui Thanh Khoa; Tran Trong Huynh - In: Cogent economics & finance 11 (2023) 1, pp. 1-15
Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a … stocks have a higher average return than growth stocks due to the higher overall risk. Furthermore, this study combined the … Support Vector Regression (SVR) algorithm with the risk premium theoretical framework for the forecasting model; consequently …
Persistent link: https://www.econbiz.de/10014500739
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Short-run risk, business cycle, and the value premium
He, Yunhao; Leippold, Markus - In: Journal of economic dynamics & control 120 (2020), pp. 1-36
Persistent link: https://www.econbiz.de/10012503891
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Long run risk model and equity premium puzzle in Thailand
Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - 2021
Persistent link: https://www.econbiz.de/10012582703
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Long Run Risk Model and Equity Premium Puzzle in Thailand
Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - In: Southeast Asian journal of economics 10 (2022) 1, pp. 133-167
Persistent link: https://www.econbiz.de/10013193514
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What drives the value premium? : risk versus mispricing ; evidence from international markets
Chaves, Denis B.; Hsu, Jason C.; Kalesnik, Vitali; … - In: Journal of investment management : JOIM 11 (2013) 4, pp. 22-39
Persistent link: https://www.econbiz.de/10010357098
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Does behavioural risk explain the value premium? : a study of Indian equity market
George, Saji; Suresh, P. Srinivasa - In: International Journal of Financial Markets and … 8 (2022) 3, pp. 205-222
Persistent link: https://www.econbiz.de/10013255826
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Leverage, default risk, and the cross-section of equity and firm returns
Hood, Frederick M. - In: Modern economy 7 (2016) 14, pp. 1610-1639
Persistent link: https://www.econbiz.de/10011647971
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Size-related premiums
Souza, Thiago de Oliveira - 2018
Persistent link: https://www.econbiz.de/10011870476
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Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra; Hafner, Christian M. - In: Econometric reviews 41 (2022) 8, pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
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Alternative measures for modeling risk and expected utility theory : (risk adjustment, measurement and attitude)
Seber, Akin - In: International journal of economics and finance 6 (2014) 9, pp. 151-157
Persistent link: https://www.econbiz.de/10010417168