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Asset Pricing with Systematic Skewness : Two Decades Later
Anghel, Dan; Caraiani, Petre; Rosu, Alina; Rosu, Ioanid - 2022
We reexamine the asset pricing performance of systematic skewness ("coskewness"), a risk factor in the three-moment CAPM model of Kraus and Litzenberger (1976). In an influential paper, Harvey and Siddique (2000) test a coskewness factor constructed by sorting stocks on past coskewness. We...
Persistent link: https://www.econbiz.de/10014088198
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The predictive impact of climate risk on total factor productivity growth : 1880-2020
Kunene, Desiree M.; Van Eyden, Reneé; Caraiani, Petre; … - 2023
Persistent link: https://www.econbiz.de/10014317435
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Fiscal policy and stock markets at the effective lower bound
André, Christophe; Caraiani, Petre; Gupta, Rangan - 2023
Persistent link: https://www.econbiz.de/10014281696
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Commodity price shocks and production networks in small open economies
Silva, Álvaro; Caraiani, Petre; Miranda-Pinto, Jorge; … - 2023
Persistent link: https://www.econbiz.de/10014308446
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Monetary policy and bubbles in G7 economies : evidence from a panel VAR approach
Caraiani, Petre; Gupta, Rangan; Nel, Jacobus; Nielsen, … - 2022
Persistent link: https://www.econbiz.de/10013253755
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Predicting the conditional distribution of US stock market systemic stress : the role of climate risks
Caporin, Massimiliano; Caraiani, Petre; Cepni, Oguzhan; … - 2024
Persistent link: https://www.econbiz.de/10014496364