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Market efficiency, asset returns, and the size of the risk premium in global equity markets
Bansal, Ravi; Lundblad, Christian - In: Journal of econometrics 109 (2002) 2, pp. 195-237
Persistent link: https://www.econbiz.de/10001689009
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Triumph of the optimists : 101 years of global investment returns
Dimson, Elroy; Marsh, Paul; Staunton, Mike - 2002 - 1. ed.
Persistent link: https://www.econbiz.de/10001635057
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2011
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10013119324
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On the Risk Return Relationship
Wang, Jian-Xin - 2012
While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional … volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the …
Persistent link: https://www.econbiz.de/10013107127
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On the Risk Return Relationship
Yang, Minxian - 2012
While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional … volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the …
Persistent link: https://www.econbiz.de/10013107156
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Volatility Risk and the Value Premium : Evidence from the French Stock Market
Arısoy, Yakup Eser - 2016
predictions of rational asset pricing theory and support a ‘‘flight-to-quality” explanation …
Persistent link: https://www.econbiz.de/10013008746
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Empirical Test of Fama French Three Factor Model and Illiquidity Premium in Indonesia
Amanda, Citra - 2015
This study explores Fama French Three Factor Model and illiquidity premium in Indonesia. The objective of this research is to find evidence about the effect from market beta, size, value, and liquidity to the stock excess return in Indonesia. We use Amihud (2002) illiquidity as a proxy for...
Persistent link: https://www.econbiz.de/10013034180
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Risk premium contributions of the Fama and French mimicking factors
Bank, Matthias; Insam, Franz - In: Finance research letters 29 (2019), pp. 347-356
Persistent link: https://www.econbiz.de/10012419218
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The X-value factor
Souza, Thiago de Oliveira - 2020
Persistent link: https://www.econbiz.de/10012321736
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Detecting profitability and investment risk premiums in the French stock market
Chakroun, Amal Zaghouani; Hmaied, Dorra Mezzez - In: Research in finance 35 (2019), pp. 71-104
Persistent link: https://www.econbiz.de/10012228103