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The impact of uncertainty in the oil and gold market on the cross-section of stock returns
Bams, Dennis; Blanchard, Gildas; Honarvar, Iman; … - 2015
Persistent link: https://www.econbiz.de/10011547101
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Information uncertainties and asset pricing puzzles : risk or mispricing?
Li, Keming; Uddin, Mohammad Riaz; Diltz, J. David - In: Managerial finance 41 (2015) 12, pp. 1280-1297
Persistent link: https://www.econbiz.de/10011504176
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R 2 and idiosyncratic risk are not interchangeable
Li, Bin; Rajgopal, Shivaram; Venkatachalam, Mohan - In: The accounting review : a publication of the American … 89 (2014) 6, pp. 2261-2295
Persistent link: https://www.econbiz.de/10010469131
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Information Uncertainties and Asset Pricing Puzzles : Risk or Mispricing?
Li, Keming - 2015
, Merton (1974) asserts that default risk is a function of the uncertainty in the asset value process. Information uncertainty …Prior research has documented the role of information uncertainty in the cross-sectional variation in stock returns …. Miller (1977) hypothesizes that if information uncertainty is caused by differences of opinion, prices will reflect only the …
Persistent link: https://www.econbiz.de/10013014736
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Disclosure and the cost of Capital : a survey of the theoretical literature
Bertomeu, Jeremy; Cheynel, Edwige - In: Abacus : a journal of accounting, finance and business … 52 (2016) 2, pp. 221-258
Persistent link: https://www.econbiz.de/10011593244
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Information risk, stock returns, and asset pricing : evidence from China
Safdar, Raheel; Chen, Yan - In: Accounting research journal 30 (2017) 4, pp. 379-394
Persistent link: https://www.econbiz.de/10011813072
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Jump-diffusion long-run risks models, variance risk premium and volatility dynamics
Jin, Jianjian - 2013
explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate … realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … consumption growth is a key component of the equity risk premium and the variance risk premium in financial markets. Moreover, I …
Persistent link: https://www.econbiz.de/10009734341
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New Zealand; Selected Issues Paper
International Monetary Fund (IMF); International … - 2010
This Selected Issues paper focuses on the issues of fiscal policy, rebalancing, and growth in New Zealand. The paper discusses that a key policy challenge for New Zealand is to rebalance the economy and reduce external vulnerabilities. It provides model-based estimates of the potential...
Persistent link: https://www.econbiz.de/10011244587
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Perspectiveson High Real Interest Rates in Turkey
Kannan, Prakash - International Monetary Fund (IMF) - 2008
. Instead, we find that two other factors- doubts about the sustainability of disinflation and the existence of a risk premium …
Persistent link: https://www.econbiz.de/10005248241
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A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns
Negro, Marco Del; Brooks, Robin - International Monetary Fund (IMF) - 2005
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...
Persistent link: https://www.econbiz.de/10005263928