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Blitz, David; Hanauer, Matthias; Vidojevic, Milan - In: International review of economics & finance : IREF 69 (2020), pp. 932-957

Persistent link: https://www.econbiz.de/10012487461

Long-term stock returns in Brazil : volatile equity returns for U.S.-like investors

Araujo, Eurilton; Brito, Ricardo D.; Sanvicente, Antonion Z. - 2020 - This version: March 30th, 2020

Persistent link: https://www.econbiz.de/10012243420

Does idiosyncratic volatility predict future growth of the Australian economy?

Liu, Bin; Di Iorio, Amalia - In: Studies in economics and finance 33 (2016) 1, pp. 69-90

Persistent link: https://www.econbiz.de/10011718726

Individual mean-variance relation and stock-level investor sentiment

Kim, Jun Sik; Kim, Da-Hea; Seo, Sung Won - In: Journal of business economics and management 18 (2017) 1, pp. 20-34

Persistent link: https://www.econbiz.de/10011721640

Modeling Sentiment, Temporal Volatility and Excess Returns : Empirical Evidence from Segmented Stock Market

Sadaqat, Mohsin - 2018

This study examines the ability of investor sentiment to predict conditional volatility and excess returns at both … been confirmed that bullish (bearish) sentiment increases (decreases) volatility which in-turn affect the mean variance … relationship. However, the commonality of the effect of investor sentiment via conditional volatility has not been uniform across …

Persistent link: https://www.econbiz.de/10012934287

Three-Factor Model of Asset Pricing : Empirical Evidence from the Indian Stock Market

Anwar, Mobin - 2018

stock pricing was Capital Asset Pricing Model (CAPM) given by William Sharpe in 1964. After that a deluge of pragmatic … evidence came up and challenged the CAPM. Despite being criticized by several researchers, CAPM became a basis for the … of stocks than CAPM, and the anomalies of CAPM are captured by the three-factor model. The present study is an attempt to …

Persistent link: https://www.econbiz.de/10012908623

On the Stock Market Variance-Return or Price Relations : A Tale Of Two Variances

Guo, Hui - 2019

Stock market variance-return or price relations are sometimes negative and sometimes positive. We explain these puzzling findings using a model with two ("bad" and "good") variances. In the model, conditional equity premium depends positively on bad variance and negatively on good variance....

Persistent link: https://www.econbiz.de/10012899693

The role of idiosyncratic jumps in stock markets

Lee, Suzanne S. - In: Journal of financial markets 64 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014466288

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977

Conditional Asset Pricing and Momentum

Huynh, Thanh - 2014

Winner stocks have higher risk exposure to Fama and French's (1993) three factors (FF3F) than loser stocks during good economic times, and therefore should earn higher expected returns. Employing the conditional FF3F model to risk adjust returns on winner and loser stocks can reduce the average...

Persistent link: https://www.econbiz.de/10013065594