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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

The pricing of unexpected volatility in the currency market

Lu, Wenna; Copeland, Laurence S.; Xu, Yongdeng - 2021

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

The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis

Müller, Gernot; Durand, Robert B.; Maller, Ross A. - In: Journal of empirical finance 18 (2011) 2, pp. 306-320

Persistent link: https://www.econbiz.de/10009301116

Asset Pricing Implications of Volatility Term Structure Risk

Xie, Chen - 2014

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

Leisure and long-run risks : an empirical evaluation on value premium puzzle

Zhang, Xiang - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10012664492

Constructing inverse factor volatility portfolios: a risk-based asset allocation for factor investing

Shimizu, Hidehiko; Shiohama, Takayuki - In: International review of financial analysis 68 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012300934

Asset pricing in OLG economies with borrowing constraints and idiosyncratic income risk

Harenberg, Daniel - 2018

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

The pricing of volatility risk in the US equity market

Hitz, Lukas; Mustafi, Ismail H.; Zimmermann, Heinz - In: International review of financial analysis 79 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013349983

Have risk premia vanished?

Smith, Simon C.; Timmermann, Allan - 2021

Persistent link: https://www.econbiz.de/10012508216

The pricing of unexpected volatility in the currency market

Lu, Wenna; Copeland, Laurence S.; Xu, Yongdeng - In: The European journal of finance 29 (2023) 17, pp. 2032-2046

Persistent link: https://www.econbiz.de/10014388546

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