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Time-varying risk premia and the cross section of stock returns

Guo, Hui - In: Journal of banking & finance 30 (2006) 7, pp. 2087-2107

Persistent link: https://www.econbiz.de/10003339524

Risikoprämien bei Eigen- und Fremdkapital : vergleichbare Größen

Knoll, Leonhard; Vorndran, Philipp; Zimmermann, Stefan - In: Finanz-Betrieb : FB ; Zeitschrift für … 8 (2006) 6, pp. 380-384

Persistent link: https://www.econbiz.de/10003348153

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - 2009

We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...

Persistent link: https://www.econbiz.de/10003832616

Size and value premium in Karachi stock exchange

Mirza, Nawazish; Shahid, Saima - In: The Lahore journal of economics 13 (2008) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10003833641

Predictable returns and asset allocation : should a skeptical investor time the market?

Wachter, Jessica; Warusawitharana, Missaka - In: Journal of econometrics 148 (2009) 2, pp. 162-178

Persistent link: https://www.econbiz.de/10003833758

The relationship between risk premium and convenience yield models

Markert, Viola; Zimmermann, Heinz - In: The handbook of commodity investing, (pp. 113-144). 2008

Persistent link: https://www.econbiz.de/10003795003

Time-varying liquidity risk and the cross section of stock returns

Watanabe, Akiko; Watanabe, Masahiro - In: The review of financial studies 21 (2008) 6, pp. 2449-2486

Persistent link: https://www.econbiz.de/10003805068

Default risk, shareholder advantage, and stock returns

Garlappi, Lorenzo; Shu, Tao; Yan, Hong - In: The review of financial studies 21 (2008) 6, pp. 2743-2778

Persistent link: https://www.econbiz.de/10003805112

Real estate returns and risk with heterogeneous investors

Lin, Zhenguo; Liu, Yingchun - In: Real estate economics : journal of the American Real … 36 (2008) 4, pp. 753-776

Persistent link: https://www.econbiz.de/10003805202

The equity premium and inflation

Beirne, John; Bondt, Gabe J. de - In: Applied financial economics letters 4 (2008) 4/6, pp. 439-442

Persistent link: https://www.econbiz.de/10003808317