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Macro-finance and factor timing : time-varying factor risk and price of risk premiums

Souza, Thiago de Oliveira - 2019

Persistent link: https://www.econbiz.de/10012098285

Stock return predictability and variance risk premia : statistical inference and international evidence

Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - 2011

Persistent link: https://www.econbiz.de/10009406434

Stock returns and the Miller Modigliani valuation formula : revisiting the Fama French analysis

Aharoni, Gil; Grundy, Bruce D.; Zeng, Qi - In: Journal of financial economics 110 (2013) 2, pp. 347-357

Persistent link: https://www.econbiz.de/10010208672

Stock return predictability and variance risk premia : statistical inference and international evidence

Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 633-661

Persistent link: https://www.econbiz.de/10010487089

Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence

Bollerslev, Tim - 2012

existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland and the U …

Persistent link: https://www.econbiz.de/10013109053

International Stock Return Differentials and Real Exchange Rate Changes

Malliaropulos, Dimitris - 2022

This article investigates the link between international stock return differentials relative to the US and deviations from relative Purchasing Power Parity. Assuming that the real exchange rate and the relative stock price between two countries contain both permanent and temporary components, we...

Persistent link: https://www.econbiz.de/10013491880

Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence

Bollerslev, Tim - 2012

existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland and the U …

Persistent link: https://www.econbiz.de/10013115149

Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13

estimates of the bivariate risk premia show bi-directional causality exist between the Australia and France Bond markets …. Overall results suggest nonexistence of pure rational expectation theory in the risk premium model. This information is useful …

Persistent link: https://www.econbiz.de/10012422545

Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: Inventi impact: microfinance & banking (2021) 2, pp. 70-82

Persistent link: https://www.econbiz.de/10012816012

Financial crises and the global value premium : revisiting Fama and French

Yamani, Ehab A.; Swanson, Peggy Eubanks - In: Journal of international financial markets, … 33 (2014), pp. 115-136

Persistent link: https://www.econbiz.de/10011299862

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