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Equity pricing and risk premium under long-run risks and incomplete information

Zhou, Ji; Paseka, Alexander - In: Journal of mathematical finance 4 (2014) 4, pp. 279-296

Persistent link: https://www.econbiz.de/10011312414

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

Liquidity, delistings, and credit risk premium

Kuo, Su-Wen; Huang, Chin-sheng; Jhang, Guan-Cih - In: International review of economics & finance : IREF 35 (2015), pp. 78-89

Persistent link: https://www.econbiz.de/10011333721

Measuring sovereign risk contagion in the Eurozone

Suh, Sangwon - In: International review of economics & finance : IREF 35 (2015), pp. 45-65

Persistent link: https://www.econbiz.de/10011333725

Are all forms of financial integration equally risky? : asset price contagion during the global financial crisis

Ahrend, Rudiger; Goujard, Antoine - In: Journal of financial stability 14 (2014), pp. 35-53

Persistent link: https://www.econbiz.de/10011302107

Do audit fees reflect risk premiums for control risk?

Jiang, Wei; Son, Myungsoo - In: Journal of accounting, auditing & finance 30 (2015) 3, pp. 318-340

Persistent link: https://www.econbiz.de/10011303029

Bond yield spreads in the Eurozone

Proksová, Denisa; Bohdalová, Mária - In: Analele ştiinţifice ale Univerşităţii Alexandru … 62 (2015) 2, pp. 221-239

Persistent link: https://www.econbiz.de/10011303532

The term structure of the price of variance risk

Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2015

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a...

Persistent link: https://www.econbiz.de/10011303715

Equity premium over different investment horizons

Lee, Eunhee; Kim, Chang Sik; Kim, In-Moo - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 1169-1187

Persistent link: https://www.econbiz.de/10011304129

Pricing, dynamics, and determinants of illiquidity risks : international evidence

Saad, Mohsen M.; Samet, Anis - In: Emerging markets review 23 (2015), pp. 124-147

Persistent link: https://www.econbiz.de/10011304170

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