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Empirical analysis of market connectedness as a risk factor for explaining expected stock returns
Deng, Shijie; Sim, Min; Huo, Xiaoming - In: Portfolio construction, measurement, and efficiency : …, (pp. 275-289). 2017
Persistent link: https://www.econbiz.de/10011603250
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Climate risks and market efficiency
Hong, Harrison G.; Li, Frank Weikai; Xu, Jiangmin - In: Journal of econometrics 208 (2019) 1, pp. 265-281
Persistent link: https://www.econbiz.de/10012144990
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Tail risk and expected stock returns around the world
Long, Huaigang; Zhu, Yanjian; Chen, Lifang; Jiang, Yuexiang - In: Pacific-Basin finance journal 56 (2019), pp. 162-178
Persistent link: https://www.econbiz.de/10012169574
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International tail risk and world fear
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …
Persistent link: https://www.econbiz.de/10011751251
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Climate risk and stock markets : implications for market efficiency and return predictability
Adediran, Idris A.; Bewaji, Phebian N.; Oyadeyi, Olajide O. - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 9, pp. 1908-1928
Persistent link: https://www.econbiz.de/10014567135
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Risk-neutral moments and return predictability : international evidence
Zhang, Junyu; Ruan, Xinfeng; Zhang, Jin E. - In: Journal of forecasting 42 (2023) 5, pp. 1086-1111
Persistent link: https://www.econbiz.de/10014338814
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Global tail risk and oil return predictability
Qian, Lihua; Zeng, Qing; Lu, Xinjie; Ma, Feng - In: Finance research letters 47 (2022) 2, pp. 1-6
Persistent link: https://www.econbiz.de/10013553904
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Three essays on the performance of earnings forecasts and forward-looking proxies for expected stock returns
Meuter, Martin - 2018
Persistent link: https://www.econbiz.de/10011861496
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Facts and challenges from the Great Recession for forecasting and macroeconomic modeling
Ng, Serena; Wright, Jonathan H. - In: Journal of economic literature 51 (2013) 4, pp. 1120-1154
Persistent link: https://www.econbiz.de/10010477809