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Generalized risk premia

Schneider, Paul - 2014

This paper develops an optimal trading strategy explicitly linked to an agent's preferences and assessment of the distribution of asset returns. The price of this strategy is a portfolio of implied moments, and its expected excess returns naturally accommodate compensation for higher-order...

Persistent link: https://www.econbiz.de/10010412884

Expected Business Conditions and Bond Risk Premia

Eriksen, Jonas N. - 2018

This paper studies the predictability of bond risk premia by means of expectations to future business conditions using …

Persistent link: https://www.econbiz.de/10012937778

Commodity futures return predictability and intertemporal asset pricing

Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio - 2020

Persistent link: https://www.econbiz.de/10012692685

The yield curve and the stock market : mind the long run

Faria, Gonçalo; Verona, Fabio - In: Journal of financial markets 50 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012703802

Global factor premiums

Baltussen, Guido; Swinkels, Laurens; Vliet, Willem … - In: Journal of financial economics 142 (2021) 3, pp. 1128-1154

Persistent link: https://www.econbiz.de/10012875933

Financial news and CDS spreads

Narayan, Paresh Kumar; Bannigidadmath, Deepa - In: Journal of behavioral and experimental finance 29 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012814187

Predictability of currency carry trades and asset pricing implications

Bakshi, Gurdip S.; Panayotov, George - In: Journal of financial economics 110 (2013) 1, pp. 139-163

Persistent link: https://www.econbiz.de/10010207758

Can the intermediary capital risk predict foreign exchange rates?

Yin, Libo - In: Finance research letters 37 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012484871

International yield spillovers

Kim, Don H.; Ochoa, Marcelo - 2020

Persistent link: https://www.econbiz.de/10012437922

Predicting exchange rate returns

Narayan, Paresh Kumar; Sharma, Susan Sunila; Dinh Hoang … - In: Emerging markets review 42 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012414387

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