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Currency futures' risk premia and risk factors

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020

The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We ﬁnd that the forward premium puzzle (FFP) depends signiﬁcantly on the maturity horizon of the futures contract and the choice of sampling...

Persistent link: https://www.econbiz.de/10012209529

Predicting returns on asset markets of a small, open economy and the influence of global risks

Haab, David R.; Nitschka, Thomas - 2017

Persistent link: https://www.econbiz.de/10011794321

Measuring the systematic risk of stocks using the capital asset pricing model

John, Abonongo; J., Ackora-Prah; Boateng, Kwasi - In: Journal of investment and management : JIM 6 (2017) 1, pp. 13-21

Persistent link: https://www.econbiz.de/10011780109

Risk and return in the foreign exchange market : measurement without VARs

Luo, Shaowen - In: International finance : the only journal bridging the … 26 (2023) 1, pp. 64-81

Persistent link: https://www.econbiz.de/10014252174

Reconciling negative return skewness with positive time-varying risk premia

Kyriakopoulou, Dimitra; Hafner, Christian M. - In: Econometric reviews 41 (2022) 8, pp. 877-894

Persistent link: https://www.econbiz.de/10013364913

Growth matters : disclosure and risk premium

Ellahie, Atif; Hayes, Rachel M.; Plumlee, Marlene A. - In: The accounting review : a publication of the American … 97 (2022) 4, pp. 259-286

Persistent link: https://www.econbiz.de/10013384456

Linear factor models and the estimation of expected returns

Sarisoy, Cisil; Goeij, Peter de; Werker, Bas J. M. - 2022

Persistent link: https://www.econbiz.de/10013479639

Generalized disappointment aversion and the cross-section of stock returns

Lu, Xiaohua; Hu, Yonghong - In: Applied economics letters 30 (2023) 17, pp. 2455-2463

Persistent link: https://www.econbiz.de/10014365936

The value premium and uncertainty : an approach by support vector regression algorithm

Bui Thanh Khoa; Tran Trong Huynh - In: Cogent economics & finance 11 (2023) 1, pp. 1-15

Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a higher average return than growth stocks; however, this effect persists indefinitely, even disappearing in some stages. Some studies suggested high volatility in the series of...

Persistent link: https://www.econbiz.de/10014500739

Commodity return predictability : evidence from implied variance, skewness, and their risk premia

Finta, Marinela Adriana; Ornelas, José Renato Haas - In: Journal of international financial markets, … 79 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013358775