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Time-varying risk premiums and the output gap
Cooper, Ilan; Priestley, Richard - In: The review of financial studies 22 (2009) 7, pp. 2801-2833
Persistent link: https://www.econbiz.de/10003866874
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Do sentiment indices impact the premium of prominent pricing factors?
Sadhwani, Ranjeeta; Rajput, Suresh Kumar Oad; Habibah, Ume - In: Cogent economics & finance 6 (2018) 1, pp. 1-50
This study investigates whether Google Search Volume Indices (GSVIs) bring shifts in the expected return of prominent pricing factors in comparison to the Volatility Index (VIX). The results show that compared to VIX, GSVIs bring less significant changes in expected premium on Fama-French's...
Persistent link: https://www.econbiz.de/10012023268
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Empirical essays on stock return predictability using macroeconomic variables and technical indicators
Bätje, Fabian - 2017
Persistent link: https://www.econbiz.de/10012123337
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Predicting early data revisions to U.S. GDP and the effects of releases on equity markets
Clements, Michael P.; Galvão, Ana Beatriz C. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 389-406
Persistent link: https://www.econbiz.de/10011705949
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Can time-varying risk of rare disasters explain aggregate stock market volatility
Wachter, Jessica - 2008
Persistent link: https://www.econbiz.de/10003763502
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Can time-varying risk of rare disasters explain aggregate stock market volatility?
Wachter, Jessica (contributor) - 2008 - Current draft: September 24, 2008
Persistent link: https://www.econbiz.de/10003783866
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Can time-varying risk of rare disasters explain aggregate stock market volatility?
Wachter, Jessica - In: The journal of finance : the journal of the American … 68 (2013) 3, pp. 987-1035
Persistent link: https://www.econbiz.de/10009754787
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Can time-varying risk of rare disasters explain aggregate stock market volatility?
Wachter, Jessica - 2011 - Current draft: May 17, 2011
Persistent link: https://www.econbiz.de/10009295341
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Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
Wachter, Jessica A. - 2012
rates predictable? This paper proposes an answer to these questions based on a time-varying probability of a consumption … disaster. In the model, aggregate consumption follows a normal distribution with low volatility most of the time, but with some … the equity premium, while time-variation in the probability of this outcome drives high stock market volatility and excess …
Persistent link: https://www.econbiz.de/10013116278
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Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
Wachter, Jessica - 2008
rates predictable? This paper proposes an answer to these questions based on a time-varying probability of a consumption … disaster. In the model, aggregate consumption follows a normal distribution with low volatility most of the time, but with some … the equity premium, while time-variation in the probability of this outcome drives high stock market volatility and excess …
Persistent link: https://www.econbiz.de/10012464261