Narrow search
Showing 1 - 10 of 23,572
Cover Image
Average tail risk and aggregate stock returns
Dai, Yingtong; Harris, Richard D. F. - In: Journal of international financial markets, … 82 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014245903
Cover Image
Taming momentum crashes
Bianchi, Daniele; De Polis, Andrea; Petrella, Ivan - 2024
Persistent link: https://www.econbiz.de/10014529581
Cover Image
Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
Cover Image
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
Cover Image
Equity anomalies and idiosyncratic risk around the world
Fan, Steve; Opsal, Scott; Yu, Linda - In: Multinational finance journal : MF ; quarterly … 19 (2015) 1/2, pp. 33-75
Persistent link: https://www.econbiz.de/10011434193
Cover Image
The idiosyncratic momentum anomaly
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
Cover Image
Idiosyncratic risk and expected returns in frontier markets : evidence from GCC
Bley, Jorg; Saad, Mohsen M. - In: Journal of international financial markets, … 22 (2012) 3, pp. 538-554
Persistent link: https://www.econbiz.de/10009623547
Cover Image
Risk and return in the Chinese stock market : does equity return dispersion proxy risk?
Chen, Chun-Da; Demirer, Rıza; Jategaonkar, Shrikant P. - In: Pacific-Basin finance journal 33 (2015), pp. 23-37
Persistent link: https://www.econbiz.de/10011474042
Cover Image
Future portfolio returns and the VIX term structure
Aharon, David Yechiam; Dimpfl, Thomas - In: Journal of risk 24 (2022) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10014546348
Cover Image
International tail risk and world fear
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …
Persistent link: https://www.econbiz.de/10011751251