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Bao, Jack; Hou, Kewei; Zhang, Shaojun - In: Journal of financial economics 149 (2023) 3, pp. 349-377

Persistent link: https://www.econbiz.de/10014419606

Bianchi, Robert; Drew, Michael E.; Roca, Eduardo; … - In: Accounting and finance : journal of the Accounting … 57 (2017) 2, pp. 351-372

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The pricing of portfolio credit risk

Tarashev, Nikola A.; Zhu, Haibin - 2006

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Dissecting the bond profitability premium

Campbell, T. Colin; Chichernea, Doina C.; Petkevich, Alex - In: Journal of financial markets 27 (2016), pp. 102-131

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Hasler, Michael; Khapko, Mariana - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5560-5577

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Systematic risk and yield premiums in the bond market

Fu, Liang; Murphy, Austin; Benzschawei, Terry - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 1-40

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"Good" inflation, "bad" inflation : implications for risky asset prices

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Asset pricing with heterogeneous investors and portfolio constraints

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Cross-section without factors : correlation risk, strings and asset prices

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model … returns: an average correlation premium. This premium is both statistically and economically significant, and considerably …-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

Persistent link: https://www.econbiz.de/10012421289

Dynamics of equity factor returns and asset pricing

Stoyanov, Stoyan V.; Fabozzi, Francesco A. - In: Journal of financial econometrics 19 (2021) 1, pp. 178-201

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