Showing 1 - 10 of 14,484
Persistent link: https://www.econbiz.de/10012503891
during the volatile period, this risk, has a substantial impact on currency returns. The empirical results show that the two …
Persistent link: https://www.econbiz.de/10012591966
Persistent link: https://www.econbiz.de/10009301116
VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors …, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk …
Persistent link: https://www.econbiz.de/10013044719
Persistent link: https://www.econbiz.de/10012664492
Persistent link: https://www.econbiz.de/10012300934
This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in … idiosyncratic risk increases the equity premium by 70 percent, which means that the mechanism described in Constantinides, Donaldson … the zero-borrowing constraint is a lot weaker. More surprisingly, when I introduce idiosyncratic labor income risk in an …
Persistent link: https://www.econbiz.de/10011900994
Persistent link: https://www.econbiz.de/10013349983
Persistent link: https://www.econbiz.de/10012508216
Persistent link: https://www.econbiz.de/10014388546