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Information environment and equity risk premium volatility around the world

Lau, Sie-ting; Ng, Lilian K.; Zhang, Bohui - In: Management science : journal of the Institute for … 58 (2012) 7, pp. 1322-1340

Persistent link: https://www.econbiz.de/10009578310

Is information risk priced? : evidence from abnormal idiosyncratic volatility

Yang, Yung Chiang; Zhang, Bohui; Zhang, Chu - In: Journal of financial economics 135 (2020) 2, pp. 528-554

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Does the volatility spillover effect matter in oil price volatility predictability? : evidence from high-frequency data

Wu, Lan; Xu, Weiju; Huang, Dengshi; Li, Pan - In: International review of economics & finance : IREF 82 (2022), pp. 299-306

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Natural gas volatility predictability in a data-rich world

Lu, Fei; Ma, Feng; Li, Pan; Huang, Dengshi - In: International review of financial analysis 83 (2022), pp. 1-15

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New evidence of extreme risk transmission between financial stress and international crude oil markets

Hong, Yanran; Li, Pan; Wang, Lu; Zhang, Yaojie - In: Research in international business and finance 64 (2023), pp. 1-15

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Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability

Lu, Xinjie; Ma, Feng; Li, Pan; Li, Tao - In: Applied economics letters 30 (2023) 7, pp. 960-964

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Jumps in the Chinese crude oil futures volatility forecasting : new evidence

Guo, Yangli; Li, Pan; Wu, Hanlin - In: Energy economics 126 (2023), pp. 1-9

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Extreme sentiment and jumps in analyst forecast dispersion

Li, Pan; Chen, Kecai; Zhu, Xiaoneng - In: Finance research letters 62 (2024) 1, pp. 1-6

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Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model

Wu, Hanlin; Li, Pan; Cao, Jiawei; Xu, Zijian - In: Energy economics 134 (2024), pp. 1-10

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Information Environment and Equity Risk Premium Volatility Around the World

Lau, Sie Ting - 2014

This paper examines whether and how differences in investors' information environment are related to cross-country differences in the market risk premium volatility. We use the vector-autoregressive and implied cost of capital methods to extract time variation in risk premiums for 41 developed...

Persistent link: https://www.econbiz.de/10013066999