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Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model
Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119
Persistent link: https://www.econbiz.de/10011333691
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Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...
Persistent link: https://www.econbiz.de/10009770247
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Time-varying beta: a boundedly rational equilibrium approach
Chiarella, Carl; Dieci, Roberto; He, Xue-zhong - In: Journal of evolutionary economics : JEE 23 (2013) 3, pp. 609-639
Persistent link: https://www.econbiz.de/10009773913
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The state-dependent time variation in the value premium
Sharaiha, Yazid M.; Johansson, Kristoffer Kittilsen - In: The journal of asset management 15 (2014) 2, pp. 150-161
Persistent link: https://www.econbiz.de/10010384768
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Multifactor risk loadings and abnormal returns under uncertainty and learning
Salotti, Simone; Trecroci, Carmine - In: The quarterly review of economics and finance : journal … 54 (2014) 3, pp. 393-404
Persistent link: https://www.econbiz.de/10010492632
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Regression-based estimation of dynamic asset pricing models
Adrian, Tobias; Crump, Richard K.; Mönch, Emanuel - In: Journal of financial economics 118 (2015) 2, pp. 211-244
Persistent link: https://www.econbiz.de/10011480393
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Asset pricing with time-varying betas for stock traded on S&P 500
Messis, Petros; Zapranis, Achilleas - In: Applied economics 46 (2014) 34/36, pp. 4508-4518
Persistent link: https://www.econbiz.de/10010462694
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Does the stock market reward innovation? : European stock index reaction to negative news during the global financial crisis
Adcock, Christopher; Hua, Xiuping; Mazouz, Khelifa; … - In: Journal of international money and finance 49 (2014), pp. 470-491
Persistent link: https://www.econbiz.de/10010464927
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High-frequency factor models and regressions
Aït-Sahalia, Yacine; Kalnina, Ilze; Xiu, Dacheng - In: Journal of econometrics 216 (2020) 1, pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
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Comovement revisited
Chen, Honghui; Singal, Vijay; Whitelaw, Robert F. - In: Journal of financial economics 121 (2016) 3, pp. 624-644
Persistent link: https://www.econbiz.de/10011590868