Narrow search
Showing 1 - 10 of 553,170
Cover Image
Cash flow and discount rate risk in up and down markets : what is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010
extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …
Persistent link: https://www.econbiz.de/10008748123
Cover Image
Downside risk
Ang, Andrew; Chen, Joseph; Xing, Yuhang - In: The review of financial studies 19 (2006) 4, pp. 1191-1239
Persistent link: https://www.econbiz.de/10003391755
Cover Image
Downside risk and the momentum effect
Ang, Andrew; Chen, Joseph; Xing, Yuhang - 2001
Persistent link: https://www.econbiz.de/10001632872
Cover Image
Idiosyncratic asset return and wage risk of US households
Snudden, Stephen - 2024
Persistent link: https://www.econbiz.de/10015049105
Cover Image
Risk bearing ability of investors in Indian stock market
Valliappan, M. - In: International journal of economic research 12 (2015) 2, pp. 287-293
Persistent link: https://www.econbiz.de/10011419781
Cover Image
Cash flow and discount rate risk in up and down markets : what is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 6, pp. 1279-1301
Persistent link: https://www.econbiz.de/10009728907
Cover Image
No arbitrage conditions and expected returns when assets have different β's in up and down markets
Xu, Peter; Pettit, R. Richardson - In: The journal of asset management 15 (2014) 1, pp. 62-71
Persistent link: https://www.econbiz.de/10010370069
Cover Image
Cash flow and discount rate risk in up and down markets : what is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010
extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …
Persistent link: https://www.econbiz.de/10011382429
Cover Image
Downside Risk and the Momentum Effect
Ang, Andrew - 2001
Stocks with greater downside risk, which is measured by higher correlations conditional on downside moves of the market … of return on stocks with the greatest downside risk exceeds the average rate of return on stocks with the least downside … risk by 6.55% per annum. Downside risk is important for explaining the cross-section of expected returns. In particular of …
Persistent link: https://www.econbiz.de/10012470072